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Persistent link: https://www.econbiz.de/10014369265
A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The proposed latent variable model incorporates a Cholesky decomposition of the dispersion matrix to ensure a...
Persistent link: https://www.econbiz.de/10012799624