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. - American Statistical Association. - Vol. 28.2010, 4, p. 559-571
|
| Publisher: |
American Statistical Association |
| Extent: | application/pdf |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008783938