Nonparametric Risk Management With Generalized Hyperbolic Distributions (Q3071150)
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scientific article; zbMATH DE number 5843424
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Nonparametric Risk Management With Generalized Hyperbolic Distributions |
scientific article; zbMATH DE number 5843424 |
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Nonparametric Risk Management With Generalized Hyperbolic Distributions (English)
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1 February 2011
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adaptive volatility estimation
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generalized hyperbolic distribution
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risk management
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value at risk
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0.89606786
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0.88670915
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0.87918025
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0.8635145
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0.8557826
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0.85552484
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0.8551185
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