Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models
<p>This paper is concerned with the statistical modeling of the latent dependence and comovement structures of multivariate financial data using a new approach based on mixed factorial hidden Markov models, and their applications in Value-at-Risk (VaR) valuation. This approach combines hidden...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2019-01-01
|
| Series: | Croatian Operational Research Review |
| Online Access: | https://hrcak.srce.hr/file/334180 |