Work

Computing portfolio risk using Gaussian mixtures and independent component analysis

Year: 2003

Type: conference-paper

Source: IEEE Conference on Computational Intelligence for Financial Engineering & Economics

DOI: 10.1109/cifer.1999.771108

Authors: E. Chin, A.S. Weigend, H. Zimmermann

Institutions: University of St.Gallen, New York University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2124340488

FWCI: 5.39

Cites: 21

Cited by: 17

Related to: 10