The Gaussian mixture dynamic conditional correlation model : parameter estimation, value at risk calculation, and portfolio selection
Year of publication: |
2010
|
---|---|
Authors: | Galeano, Pedro ; Ausín, M. Concepción |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 28.2010, 4, p. 559-571
|
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation |
-
Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation
Bräutigam, Marcel, (2020)
-
Hsu Ku, Yuan-Hung, (2008)
-
Trucíos, Carlos, (2017)
- More ...
-
Ausín, M. Concepción, (2014)
-
Virbickaitė, Audronė, (2020)
-
Parallel Bayesian inference for high-dimensional dynamic factor copulas
Nguyen, Hoang, (2019)
- More ...