Nonparametric Risk Management with Generalized Hyperbolic Distributions

@inproceedings{Chen2005NonparametricRM,
  title={Nonparametric Risk Management with Generalized Hyperbolic Distributions},
  author={Ying Chen and Wolfgang K. H{\"a}rdle and Seok-Oh Jeong},
  year={2005}
}
In this article we propose the generalized hyperbolic adaptive volatility (GHADA) risk management model based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared with the normal distribution, the GH distribution has semiheavy tails and represents the financial risk factors more appropriately. Nonparametric adaptive methodology has the desirable property of being able to estimate homogeneous volatility over a short time interval and reflects a… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-10 OF 24 CITATIONS