Open AccessTHE APPLICATION OF EXPECTATION MAXIMIZATION TO MANAGE MISSING DATA, BIASES VALUE‐AT‐RISK AND VOLATILITY MODELS IN FINANCIAL TIME SERIES?
Author(s) -
Gábor Dávid Kiss,
Marianna Sávai
Publication year - 2016
Language(s) - English
Resource type - Conference proceedings
DOI - 10.7441/dokbat.2016.21
Subject(s) - volatility (finance) , series (stratigraphy) , missing data , time series , econometrics , value at risk , value (mathematics) , maximization , computer science , expectation–maximization algorithm , utility maximization , risk management , finance , economics , statistics , maximum likelihood , mathematics , machine learning , microeconomics , mathematical economics , paleontology , biology
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