Stable mixture GARCH models
Year of publication: |
2013
|
---|---|
Authors: | Broda, Simon A. ; Haas, Markus ; Krause, Jochen ; Paolella, Marc S. ; Steude, Sven C. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 172.2013, 2, p. 292-306
|
Publisher: |
Elsevier |
Subject: | Density forecasting | Expected shortfall | Fat tails | ICA | GARCH | Mixtures | Portfolio selection | Stable Paretian distribution | Value-at-risk |
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