GHICA - Risk analysis with GH distributions and independent components
10.1016/j.jempfin.2009.09.005
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sg-nus-scholar.10635-1051622024-11-09T04:05:16Z 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_ |
1821209319733985280 |