GHICA -- Risk analysis with GH distributions and independent components
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- Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
References listed on IDEAS
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- Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014.
"TVICA—Time varying independent component analysis and its application to financial data,"
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- Ray-Bing Chen & Ying Chen & Wolfgang HÃ¤rdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
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- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
More about this item
KeywordsMultivariate risk management Independent component analysis Generalized hyperbolic distribution Local exponential estimation Value at risk Expected shortfall;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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