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

id	sg-nus-scholar.10635-105243
record_format	dspace
spelling	sg-nus-scholar.10635-1052432023-10-27T08:04:26Z Nonparametric risk management with generalized hyperbolic distributions Chen, Y. Härdle, W. Jeong, S.-O. STATISTICS & APPLIED PROBABILITY Adaptive volatility estimation Generalized hyperbolic distribution Risk management Value at risk 10.1198/016214507000001003 Journal of the American Statistical Association 103 483 910-923 2014-10-28T05:13:30Z 2014-10-28T05:13:30Z 2008-09 Article Chen, Y., Härdle, W., Jeong, S.-O. (2008-09). Nonparametric risk management with generalized hyperbolic distributions. Journal of the American Statistical Association 103 (483) : 910-923. ScholarBank@NUS Repository. https://doi.org/10.1198/016214507000001003 01621459 http://scholarbank.nus.edu.sg/handle/10635/105243 000260193700002 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Adaptive volatility estimation Generalized hyperbolic distribution Risk management Value at risk
spellingShingle	Adaptive volatility estimation Generalized hyperbolic distribution Risk management Value at risk Chen, Y. Härdle, W. Jeong, S.-O. Nonparametric risk management with generalized hyperbolic distributions
description	10.1198/016214507000001003
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chen, Y. Härdle, W. Jeong, S.-O.
format	Article
author	Chen, Y. Härdle, W. Jeong, S.-O.
author_sort	Chen, Y.
title	Nonparametric risk management with generalized hyperbolic distributions
title_short	Nonparametric risk management with generalized hyperbolic distributions
title_full	Nonparametric risk management with generalized hyperbolic distributions
title_fullStr	Nonparametric risk management with generalized hyperbolic distributions
title_full_unstemmed	Nonparametric risk management with generalized hyperbolic distributions
title_sort	nonparametric risk management with generalized hyperbolic distributions
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105243
_version_	1781788017062576128

Nonparametric risk management with generalized hyperbolic distributions

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