Chen, Ying; Härdle, Wolfgang; Jeong, Seok-Oh - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...