Chen, Rongda; Yu, Lean - In: Economic Modelling 35 (2013) C, pp. 796-804
option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market … multivariate mixture of normal distributions than when they have normal distributions. Moreover, VaR values obtained by using the … factors have normal distributions or multivariate mixture of normal distributions. However, the speed of computation is …