The paper reports empirical worst-case VaR values for Chinese, American, Japanese, and German stock markets using a two-layer Gaussian mixture model with unknown first-layer weights.
Craig Mackinlay
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calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty
The paper reports empirical worst-case VaR values for Chinese, American, Japanese, and German stock markets using a two-layer Gaussian mixture model with unknown first-layer weights.