GHICA - Risk Analysis with GH Distributions and Independent Components
Year of publication: |
2006-11
|
---|---|
Authors: | Chen, Ying ; Härdle, Wolfgang ; Spokoiny, Vladimir |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Multivariate Risk Management | Independent Component Analysis | Generalized Hyperbolic Distribution | Local Exponential Estimation | Value at Risk | Expected Shortfall |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2006-078 32 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G20 - Financial Institutions and Services. General |
Source: |
-
GHICA: Risk analysis with GH distributions and independent components
Chen, Ying, (2006)
-
GHICA - Risk Analysis with GH Distributions and Independent Components
Chen, Ying, (2006)
-
Portfolio Value at Risk Based on Independent Components Analysis
Chen, Ying, (2005)
- More ...
-
Portfolio Value at Risk Based on Independent Components Analysis
Chen, Ying, (2005)
-
Robust Risk Management. Accounting for Nonstationarity and Heavy Tails
Chen, Ying, (2007)
-
Inhomogeneous Dependency Modelling with Time Varying Copulae
Giacomini, Enzo, (2006)
- More ...