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~subject:"Generalized Hyperbolic distribution"
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Generalized Hyperbolic distribution
generalized hyperbolic distribution
34
Statistische Verteilung
31
Statistical distribution
28
Theorie
24
Generalized hyperbolic distribution
23
Theory
22
Generalized Hyperbolic Distribution
14
Estimation
12
Portfolio selection
12
Portfolio-Management
12
Risikomaß
12
Schätzung
12
Risk measure
11
ARCH model
10
ARCH-Modell
10
Capital income
9
Kapitaleinkommen
9
Volatility
7
Volatilität
7
Forecasting model
6
Prognoseverfahren
6
CAC 40
5
GARCH
5
Portfolio optimization
5
Risiko
5
Risk
5
Student-t distribution
5
dynamic equicorrelation
5
large portfolio approximation
5
law of large numbers
5
option pricing
5
Heavy-tailed distribution
4
Parameter estimation
4
Stable distribution
4
Stochastic process
4
Stochastischer Prozess
4
Tempered stable distribution
4
value at risk
4
Aktienindex
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Kurniawan, Ryan
2
Budhi Arta Surya
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Härdle, Wolfgang
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Kim, Joseph H. T.
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Kim, So-Yeun
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Surya, Budhi
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Wang, Congcong
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Zięba, Damian
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Asia-Pacific Financial Markets
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Asia-Pacific financial markets
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ECONIS (ZBW)
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1
Lévy processes on the cryptocurrency market
Zięba, Damian
-
2019
Persistent link: https://www.econbiz.de/10012196575
Saved in:
2
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.
;
Kim, So-Yeun
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
Saved in:
3
Optimal Portfolio Selection Based on Expected Shortfall Under
Generalized
Hyperbolic
Distribution
Surya, Budhi
;
Kurniawan, Ryan
- In:
Asia-Pacific Financial Markets
21
(
2014
)
3
,
pp. 193-236
multivariate
Generalized
Hyperbolic
distribution
as the joint distribution for the risk factors of underlying portfolio assets …
Persistent link: https://www.econbiz.de/10010959296
Saved in:
4
Optimal portfolio selection based on expected shortfall under
Generalized
Hyperbolic
distribution
Budhi Arta Surya
;
Kurniawan, Ryan
- In:
Asia-Pacific financial markets
21
(
2014
)
3
,
pp. 193-236
Persistent link: https://www.econbiz.de/10010511588
Saved in:
5
On the Numerics of Estimating Generalized Hyperbolic Distributions
Wang, Congcong
-
2005
paper employs maximum likelihood estimation to estimate the five parameters of
generalized
hyperbolic
distribution
, a highly …
Persistent link: https://www.econbiz.de/10009467247
Saved in:
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