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An EM Algorithm for Multivariate NIG Distribution and its Application to Value-at-Risk

Year: 2010

Type: article

Source: International journal of information and management sciences

DOI: 10.6186/ijims.2010.21.3.3

Authors: Yan Chang, S.-F. Wang, Ming-Chin Hung, Chih-Tun Yu, 游智惇

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2299990237

FWCI:

Cites:

Cited by: 4

Related to: 10