Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10014369265
A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The proposed latent variable model incorporates a Cholesky decomposition of the dispersion matrix to ensure a...
Persistent link: https://www.econbiz.de/10012799624
Persistent link: https://www.econbiz.de/10001410538
Persistent link: https://www.econbiz.de/10012202863
Persistent link: https://www.econbiz.de/10001500108