The Stiefel manifold Vp,d is the space of all d × p orthonormal matrices, with the d−1 hypersphere and the space of all orthogonal matrices constituting special cases. In modeling data lying on the ...
We suggest a new method for integrating volatility information for estimating the value-at-risk and conditional value-at-risk of a portfolio. This new method is developed from the perspective of ...
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