Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models (Q5147625)
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scientific article; zbMATH DE number 7302570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models |
scientific article; zbMATH DE number 7302570 |
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Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models (English)
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27 January 2021
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mixed latent factor models
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hidden Markov models
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unobserved heterogeneity
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EM algorithm
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value-at-risk
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