GHICA - Risk analysis with GH distributions and independent components

GHICA - Risk analysis with GH distributions and independent components

10.1016/j.jempfin.2009.09.005

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Bibliographic Details
Main Authors: Chen, Y., Härdle, W., Spokoiny, V.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Expected shortfall
Generalized hyperbolic distribution
Independent component analysis
Local exponential estimation
Multivariate risk management
Value at risk
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105162
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Institution: National University of Singapore

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http://scholarbank.nus.edu.sg/handle/10635/105162

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