Nonparametric risk management with generalized hyperbolic distributions

Nonparametric risk management with generalized hyperbolic distributions

10.1198/016214507000001003

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Bibliographic Details
Main Authors: Chen, Y., Härdle, W., Jeong, S.-O.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Adaptive volatility estimation
Generalized hyperbolic distribution
Risk management
Value at risk
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105243
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Institution: National University of Singapore
Description
Summary:10.1198/016214507000001003

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