Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models (Q5147625)
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scientific article; zbMATH DE number 7302570
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| English | Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models |
scientific article; zbMATH DE number 7302570 |
Statements
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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0.7731870412826538
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0.7684229612350464
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0.7626326084136963
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0.7593458890914917
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0.7553157806396484
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