The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (Q3063006)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection |
scientific article |
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The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection (English)
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30 December 2010
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Bayesian inference
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Gaussian mixture model
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maximum likelihood estimation
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multivariate generalized autoregressive conditional heteroscedasticity model
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portfolio selection
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value at risk
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