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Volkov Nikita Vasil'evich
Publications in Math-Net.Ru
Improving value-at-risk estimation for multivariate portfolios using a mixture of probabilistic principal component analyzers
Vestn. YuUrGU. Ser. Vych. Matem. Inform.
,
14
:2 (2025),
5–25
©
Steklov Math. Inst. of RAS
, 2026
