Nonparametric Risk Management With Generalized Hyperbolic Distributions

DOI10.1198/016214507000001003zbMath1205.62157OpenAlexW2133141024MaRDI QIDQ3071150

Ying Chen, Seok-Oh Jeong, Wolfgang Karl Härdle

Publication date: 1 February 2011

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-001.pdf

zbMATH Keywords

risk managementvalue at riskgeneralized hyperbolic distributionadaptive volatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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