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...

In this paper, we extend the semi-nonparametric (SNP) densities of León, Mencía and Sentana (2009) through time-varying (TV) volatility, skewness and kurtosis. We derive some parametric properties, the conditional expected shortfall, quantiles and partial moments. We obtain closed-form...