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

id	sg-nus-scholar.10635-105162
record_format	dspace
spelling	sg-nus-scholar.10635-1051622023-10-30T09:53:21Z GHICA - Risk analysis with GH distributions and independent components Chen, Y. Härdle, W. Spokoiny, V. STATISTICS & APPLIED PROBABILITY Expected shortfall Generalized hyperbolic distribution Independent component analysis Local exponential estimation Multivariate risk management Value at risk 10.1016/j.jempfin.2009.09.005 Journal of Empirical Finance 17 2 255-269 JEFIE 2014-10-28T05:12:24Z 2014-10-28T05:12:24Z 2010-03 Article Chen, Y., Härdle, W., Spokoiny, V. (2010-03). GHICA - Risk analysis with GH distributions and independent components. Journal of Empirical Finance 17 (2) : 255-269. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jempfin.2009.09.005 09275398 http://scholarbank.nus.edu.sg/handle/10635/105162 000276124200006 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Expected shortfall Generalized hyperbolic distribution Independent component analysis Local exponential estimation Multivariate risk management Value at risk
spellingShingle	Expected shortfall Generalized hyperbolic distribution Independent component analysis Local exponential estimation Multivariate risk management Value at risk Chen, Y. Härdle, W. Spokoiny, V. GHICA - Risk analysis with GH distributions and independent components
description	10.1016/j.jempfin.2009.09.005
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chen, Y. Härdle, W. Spokoiny, V.
format	Article
author	Chen, Y. Härdle, W. Spokoiny, V.
author_sort	Chen, Y.
title	GHICA - Risk analysis with GH distributions and independent components
title_short	GHICA - Risk analysis with GH distributions and independent components
title_full	GHICA - Risk analysis with GH distributions and independent components
title_fullStr	GHICA - Risk analysis with GH distributions and independent components
title_full_unstemmed	GHICA - Risk analysis with GH distributions and independent components
title_sort	ghica - risk analysis with gh distributions and independent components
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105162
_version_	1781788003894558720

GHICA - Risk analysis with GH distributions and independent components

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