GHICA - Risk Analysis with GH Distributions and Independent Components
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- 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.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- AndrÃ© Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, pages 271-284.
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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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-25 (All new papers)
- NEP-ECM-2006-11-25 (Econometrics)
- NEP-RMG-2006-11-25 (Risk Management)
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