Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition

DOI10.1016/j.jmva.2019.02.004zbMath1415.60021MaRDI QIDQ2001089

Marc S. Paolella, Jeffrey Näf, Paweł Polak

Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.02.004

zbMATH Keywords

portfolio optimization; mixture distribution; expectation-maximization algorithm; cryptocurrencies; heterogeneous tails

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

60E10: Characteristic functions; other transforms

Uses Software

• QRM
• PMTK
• CopulaModel