Multivariate asset return prediction with mixture models
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2012.760167
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1. Matrix Algebra
2. Expected Shortfall: A Natural Coherent Alternative to Value at Risk
3. Normal mixture GARCH(1,1): applications to exchange rate modelling
4. Multivariate mixed normal conditional heteroskedasticity
5. Multivariate GARCH models: a survey
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