GHICA: Risk analysis with GH distributions and independent components
Year of publication: |
2006
|
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Authors: | Chen, Ying ; Härdle, Wolfgang Karl ; Spokoiny, Vladimir |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | multivariate risk management | independent component analysis | generalized hyperbolic distribution | local exponential estimation | value at risk | expected shortfall |
Series: | SFB 649 Discussion Paper ; 2006-078 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 52256352X [GVK] hdl:10419/25161 [Handle] RePEc:zbw:sfb649:sfb649dp2006-078 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C16 - Specific Distributions ; C32 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G20 - Financial Institutions and Services. General |
Source: |
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GHICA - Risk Analysis with GH Distributions and Independent Components
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GHICA - Risk Analysis with GH Distributions and Independent Components
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