Multivariate asset return prediction with mixture models
Marc S. Paolella
| Year of publication: |
October-December 2015
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| Authors: | Paolella, Marc S. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 13/15, p. 1214-1252
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| Subject: | density forecasting | expectation-maximization algorithm | fat tails | mixture distributions | multivariate Laplace distribution | quasi-Bayesian estimation | shrinkage estimation | weighted likelihood | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Algorithmus | Algorithm | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2012.760167 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419842