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Nonparametric risk management with generalized hyperbolic distributions

Citations

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Cited by:

  1. Michal Skorepa, 2014. "Concurrent Capital Buffers in a Banking Group," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2013/2014, chapter 0, pages 128-136, Czech National Bank.
  2. Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006. "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers 2006-078, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. repec:hum:wpaper:sfb649dp2012-034 is not listed on IDEAS
  5. J. Hambuckers & C. Heuchenne, 2017. "A robust statistical approach to select adequate error distributions for financial returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 137-161, January.
  6. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
  7. Čίžek, Pavel & Komorád, Karel, 2005. "Implied trinomial trees," SFB 649 Discussion Papers 2005-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.
  10. Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010. "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 255-269, March.
  11. Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.
  12. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
  13. Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005. "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers 2005-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  14. repec:hum:wpaper:sfb649dp2005-007 is not listed on IDEAS
  15. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  16. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
  17. repec:hum:wpaper:sfb649dp2005-060 is not listed on IDEAS
  18. Seok-Oh Jeong & Kee-Hoon Kang, 2009. "Nonparametric estimation of value-at-risk," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(11), pages 1225-1238.
  19. Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
  20. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  21. Yu, Yaming, 2017. "On normal variance–mean mixtures," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 45-50.
  22. Willmot, Gordon E. & Woo, Jae-Kyung, 2022. "Remarks on a generalized inverse Gaussian type integral with applications," Applied Mathematics and Computation, Elsevier, vol. 430(C).
  23. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  24. repec:hum:wpaper:sfb649dp2006-078 is not listed on IDEAS
  25. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
  26. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
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