Value-at-risk via mixture distributions reconsidered
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Recommendations
- Mixed value-at-risk and its numerical investigation
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- Large deviations for risk measures in finite mixture models
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- Multivariate value at risk and related topics
Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- An approach to VaR for capital markets with Gaussian mixture
- Analysis of time series subject to changes in regime
- Autoregressive conditional heteroskedasticity and changes in regime
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Coherent measures of risk
- Elements of financial risk management. With CD-ROM.
- Estimating the dimension of a model
- Finite mixture and Markov switching models.
- Finite mixture models
- Forecasts of US short-term interest rates: a flexible forecast combination approach
- Gaussian mixture modelling to detect random walks in capital markets
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- Mixtures of \(t\)-distributions for finance and forecasting
- Moments of Markov switching models
- Multivariate GARCH Models
- Multivariate Stochastic Volatility
- Multivariate Stochastic Volatility: A Review
- Term structure of risk under alternative econometric specifications
Cited in
(13)- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- 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
- An approach to VaR for capital markets with Gaussian mixture
- Long memory and regime switching in the stochastic volatility modelling
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
- Return and Value at Risk using the Dirichlet Process
- A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Empirical application of normal mixture GARCH and value-at-risk estimation
- On using fuzzy clustering for detecting the number of states in Markov switching models
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