The Application of Expectation Maximization to Manage Missing Data, Biases Value‐at‐risk and Volatility Models in Financial Time Series?

doi 10.7441/dokbat.2016.21
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Tomas Bata University in Zlín, Faculty of Management and Economics

Related search

Parameter Estimation of Autoregressive-Exogenous and Autoregressive Models Subject to Missing Data Using Expectation Maximization

Frontiers in Built Environment
BuildingDevelopmentUrban StudiesPlanningConstructionGeography
2019English

Stochastic Volatility Models for Ordinal-Valued Time Series With Application to Finance

Statistical Modelling
UncertaintyStatisticsProbability
2009English

imputeTS: Time Series Missing Value Imputation in R

R Journal
UncertaintyNumerical AnalysisStatisticsProbability
2017English

Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods With Different Volatility Levels

e-Finanse
2018English

Probabilistic Principal Component Analysis With Expectation Maximization (PPCA-EM) Facilitates Volume Classification and Estimates the Missing Data

Journal of Structural Biology
Structural Biology
2010English

Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

International Review of Economics and Finance
EconomicsFinanceEconometrics
2015English

Time Series Modeling of Surface EMG Based Hand Manipulation Identification via Expectation Maximization Algorithm

Neurocomputing
Computer Science ApplicationsArtificial IntelligenceCognitive Neuroscience
2015English

Evaluating Value‐at‐risk Models Before and After the Financial Crisis of 2008

Managerial Finance
AccountingManagementFinanceBusinessStrategy
2012English

Value-At-Risk Modeling and Forecasting With Range-Based Volatility Models: Empirical Evidence

Revista Contabilidade e Financas
AccountingFinance
2017English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy