Mixture of mirrored Weibull distributions proposed for stock return modeling with claimed improvements in VaR estimation over Gaussian and t-mixtures on three S&P500 stocks.
Modelling asset return using multivariate asymmetric mixture models with applications to estimation of Value-at-Risk
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Mining Financial Data using Mixtures of Mirrored Weibull Distributions
Mixture of mirrored Weibull distributions proposed for stock return modeling with claimed improvements in VaR estimation over Gaussian and t-mixtures on three S&P500 stocks.