Nonparametric risk management with generalized hyperbolic distributions

Journal of the American Statistical Association

Volumn 103, Issue 483, 2008, Pages 910-923

  Chen, Ying ^a   Härdle, Wolfgang ^b   Jeong, Seok Oh ^c  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b HUMBOLDT UNIVERSITY   (Germany)

^c Hankuk University of Foreign Studies   (South Korea)

Author keywords

Adaptive volatility estimation; Generalized hyperbolic distribution; Risk management; Value at risk

Indexed keywords

EID: 54949124220     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214507000001003     Document Type: Article

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