Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
fast method, GHICA, which overcomes the limitations in multivariate risk analysis. The idea is to first retrieve … resulting ICs in the generalized hyperbolic (GH) distributional framework. For the volatility estimation of each IC, the local …Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory …