Chen, Ying; Härdle, Wolfgang; Spokojnyj, Vladimir G. - 2005
SFB 649 Discussion Paper 2005-060
Portfolio Value at Risk
Based on Independent
Components Analysis
Ying Chen* **
Wolfgang Härdle*
Vladimir Spokoiny* **
* CASE - Center for Applied Statistics and Economics,
Humboldt-Universität zu Berlin
** Weierstraß -...
