【题名】The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection
【作 者】:Pedro Galeano, M. Concepción Ausín
【期刊、会议、单位名称】:
Journal of Business and Economic Statistics
【年, 卷(期), 起止页码】:
October 1, 2010, 28(4): 559-571.
【全文链接】:
http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.07238