GHICA - Risk analysis with GH distributions and independent components

Journal of Empirical Finance

Volumn 17, Issue 2, 2010, Pages 255-269

  Chen, Ying ^a   Härdle, Wolfgang ^b   Spokoiny, Vladimir ^b,c  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b HUMBOLDT UNIVERSITY   (Germany)

^c WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Expected shortfall; Generalized hyperbolic distribution; Independent component analysis; Local exponential estimation; Multivariate risk management; Value at risk

Indexed keywords

EID: 76849116959     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.09.005     Document Type: Article

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