Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
with the GHICA one.
Keywords: multivariate risk management, independent component analysis, generalized
hyperbolic … distribution, local exponential estimation, value at risk, expected shortfall
JEL Codes: C14, C16, C32, C61, G20
Acknowledgement …