Stable mixture GARCH models (Q528154)
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scientific article; zbMATH DE number 6714816
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stable mixture GARCH models |
scientific article; zbMATH DE number 6714816 |
Statements
Stable mixture GARCH models (English)
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12 May 2017
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density forecasting
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expected shortfall
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fat tails
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ICA
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GARCH
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mixtures
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portfolio selection
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stable Paretian distribution
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value-at-risk
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0.91134346
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0.91027266
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0.9097042
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0.90764165
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0.8991589
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