Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2011
and posterior for bandwidth parameters under this Gaussian-component mixture density of errors in a nonparametric … function and error density. A simulation study shows that the proposed Gaussian-component mixture density of errors is clearly … All Ordinaries return, and therefore, a distribution-free value-at-risk is obtained. The proposed Gaussian component …