Gaussian mixture modelling to detect random walks in capital markets

DOI10.1016/S0895-7177(03)90022-7zbMath1106.91335MaRDI QIDQ597510

Ming-Heng Zhang, Qian-Sheng Cheng

Publication date: 6 August 2004

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

EM algorithmdistributionsAsset returnGaussian mixture modellingThe Kolmogorov-Smirnov testThe random walks hypothesis

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Sums of independent random variables; random walks (60G50)

Related Items (2)

Value-at-risk via mixture distributions reconsidered ⋮ An approach to VaR for capital markets with Gaussian mixture

Cites Work

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