Nonparametric risk management with generalized hyperbolic distributions
Year of publication: |
2005
|
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Authors: | Chen, Ying ; Härdle, Wolfgang Karl ; Jeong, Seok-Oh |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | adaptive volatility estimation | generalized hyperbolic distribution | value at risk | risk management. |
Series: | SFB 649 Discussion Paper ; 2005-001 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 495968188 [GVK] hdl:10419/25020 [Handle] |
Source: |
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