Nonparametric Risk Management With Generalized Hyperbolic Distributions

DOI10.1198/016214507000001003MaRDI QIDQ3071150zbMATH OpenOpenAlexFDO

Authors Ying Chen, Seok-Oh Jeong, Wolfgang K. 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

adaptive volatility estimationgeneralized hyperbolic distributionrisk managementvalue at risk

Mathematics Subject Classification ID

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

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Cited in

(19)

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• Estimation methods for expected shortfall
• GSH dependence modeling with an application to risk management
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• scientific article; zbMATH DE number 1538082 (Why is no real title available?)
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• A robust statistical approach to select adequate error distributions for financial returns
• Tests of fit for normal inverse Gaussian distributions
• Independent Factor Autoregressive Conditional Density Model
• Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
• Nonparametric volatility prediction

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