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  • Search: subject:"Multivariate Laplace Distribution"
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Subject
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ARCH model 1 ARCH-Modell 1 Algorithm 1 Algorithmus 1 Bayes-Statistik 1 Bayesian inference 1 Capital income 1 Density Forecasting 1 EM-Algorithm 1 Estimation 1 Estimation theory 1 Fat Tails 1 Forecasting model 1 Kapitaleinkommen 1 Mixture Distributions 1 Multivariate Laplace Distribution 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Quasi-Bayesian Estimation 1 Schätztheorie 1 Schätzung 1 Shrinkage Estimation 1 Statistical distribution 1 Statistische Verteilung 1 Weighted Likelihood 1 density forecasting 1 expectation-maximization algorithm 1 fat tails 1 mixture distributions 1 multivariate Laplace distribution 1 quasi-Bayesian estimation 1 shrinkage estimation 1 weighted likelihood 1
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Free 1 Undetermined 1
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Article 1 Book / Working Paper 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Paolella, Marc S. 2
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Swiss Finance Institute Research Paper Series 1 The European journal of finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Multivariate Asset Return Prediction with Mixture Models
Paolella, Marc S.
The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...
Persistent link: https://www.econbiz.de/10010680440
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