Gaussian mixtures and financial returns

DOI10.7151/DMPS.1190OpenAlexW2781675335MaRDI QIDQ5040238

J. Iñigo-Martínez, Carlos A. Cuevas-Covarrubias, Raquel Jiménez-Padilla

Publication date: 11 October 2022

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7151/dmps.1190

zbMATH Keywords

Gaussian mixturesCVaRVaRfinancial returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10)

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