Nonparametric Risk Management with Generalized Hyperbolic Distributions
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References listed on IDEAS
- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pavel Cizek & Karel Komorad, 2005. "Implied Trinomial Trees," SFB 649 Discussion Papers SFB649DP2005-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010.
"GHICA -- Risk analysis with GH distributions and independent components,"
Journal of Empirical Finance,
Elsevier, vol. 17(2), pages 255-269, March.
- 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.
- Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.
- Yu, Yaming, 2017. "On normal variance–mean mixtures," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 45-50.
More about this item
Keywordsadaptive volatility estimation; generalized hyperbolic distribution; value at risk; risk management;
- 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-22 (All new papers)
- NEP-BEC-2005-10-22 (Business Economics)
- NEP-CMP-2005-10-22 (Computational Economics)
- NEP-RMG-2005-10-22 (Risk Management)
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