Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models

DOI10.17535/CRORR.2019.0021zbMath1458.91198OpenAlexW2996686612MaRDI QIDQ5147625

Mohamed Saidane

Publication date: 27 January 2021

Published in: Croatian Operational Research Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17535/crorr.2019.0021

zbMATH Keywords

EM algorithmhidden Markov modelsvalue-at-riskunobserved heterogeneitymixed latent factor models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Monitoring Stock Market Returns

Cites Work

• Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
• The EM Algorithm and Extensions, 2E
• Conditionally heteroscedastic factorial HMMs for time series in finance
• Unnamed Item

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