Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk
Since returns of financial assets generally exhibit skewness and kurtosis, modelling returns using a distribution with the ability to capture both of these statistical aspects will increase the accuracy of risk forecasts based on these distributions. The authors propose the use of the multivariate s...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Conference Paper |
| Published: |
MODSIM 2011
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/49763 |