View Item 

Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk

View/Open
Access Status
Fulltext not available
Authors
soltyk, S.
Gupta, Ritu
Date
2011
Type
Conference Paper
Metadata
Show full item record
Citation
soltyk, S. and Gupta, R. 2011. Application of the multivariate skew normal mixture model with the EM Algorithm to Value-at-Risk, in Chan, F., Marinova, D. and Anderssen, R.S. (eds) (ed), 19th International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, December 2011, Dec 12 2011, pp. 1638-1644. Perth: MODSIM 2011.
Source Title
MODSIM2011
URI
Department
Department of Mathematics and Statistics
Collections