Dynamic adaptive mixture models with an application to volatility and risk
Year of publication: |
2021
|
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Authors: | Catania, Leopoldo |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 4, p. 531-564
|
Subject: | adaptive models | dynamic mixture models | quantitative risk management | score-driven models | Theorie | Theory | Volatilität | Volatility | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling |
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