Work

GHICA — Risk analysis with GH distributions and independent components

Year: 2009

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2009.09.005

Authors: Ying Chen, Wolfgang Härdle, Vladimir Spokoiny

Institutions: National University of Singapore, Risk Management Institute, Humboldt-Universität zu Berlin, Weierstrass Institute for Applied Analysis and Stochastics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National University of Singapore, Deutsche Forschungsgemeinschaft

OpenAlex ID: W1992376937

FWCI: 4.509

Cites: 52

Cited by: 30

Related to: 10