Value-at-risk via mixture distributions reconsidered

DOI10.1016/j.amc.2009.08.005zbMath1189.91225OpenAlexW2007399864MaRDI QIDQ1039677

Markus Haas

Publication date: 23 November 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2009.08.005

zbMATH Keywords

Gaussian mixtureforecastingvalue-at-risknonlinear time seriesMarkov-switchingstock marketsfat-tailed distributions

Mathematics Subject Classification ID

Related Items (5)

Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment ⋮ Long memory and regime switching in the stochastic volatility modelling ⋮ Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence ⋮ Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution ⋮ Assessing the effect of kurtosis deviations from Gaussianity on conditional distributions

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