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

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Authors
soltyk, S.
Gupta, Ritu
Date
2011
Type
Conference Paper
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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.
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MODSIM2011
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Department
Department of Mathematics and Statistics
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