Gaussian mixtures and financial returns

DOI10.7151/DMPS.1190MaRDI QIDQ5040238zbMATH OpenOpenAlexFDO

Authors Carlos A. Cuevas-Covarrubias, J. Iñigo-Martínez, Raquel Jiménez-Padilla

Publication date 11 October 2022

Published in Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7151/dmps.1190

zbMATH Keywords

CVaRfinancial returnsGaussian mixturesVaR

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(6)

• Non-linear properties of conditional returns under scale mixtures
• Bivariate sub-Gaussian model for stock index returns
• Using mixture density functions for modelling of wage distributions
• Fitting financial returns distributions: a mixture normality approach
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
• Applications in finance

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