Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
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Author / Producer
Date
2019-07
Publication Type
Journal Article
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yes
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Altmetric
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Publication status
published
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Journal / series
Volume
172
Pages / Article No.
84 - 106
Publisher
Elsevier
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Edition / version
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Software
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Subject
Cryptocurrencies; Expectation–maximization algorithm; Mixture distribution; Portfolio optimization; Heterogeneous tails