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Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Mencía, Javier;
Sentana, Enrique
2-Jun-2009
Generalised hyperbolic distribution;
Maximum likelihood;
Portfolio frontiers;
Sortino ratio;
Spanning tests;
Tail dependence;
Valoración de activos;
Modelización econométrica;
Modelos econométricos
Distributional tests in multivariate dynamic models with normal and student t innovations
Mencía, Javier;
Sentana, Enrique
21-Dec-2009
Bootstrap;
Inequality constraints;
Curtosis;
Normality tests;
Skewness;
Supremum test;
Underidentified parameters;
Modelización econométrica;
Métodos Econométricos y Estadísticos;
Modelos econométricos
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Modelización econométrica [2]
Bootstrap [1]
Curtosis [1]
Generalised hyperbolic distribution [1]
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