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GHICA — Risk analysis with GH distributions and independent components · Study

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ArticleGHICA — Risk analysis with GH distributions and independent components

Ying Chen2009

Article2009

GHICA — Risk analysis with GH distributions and independent components

Ying Chen · Wolfgang Karl Härdle · Vladimir Grigor'evich Spokoiny

30 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1998Evaluating Interval Forecasts 2001The Distribution of Realized Exchange Rate Volatility 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

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2021Optimal Portfolio Diversification via Independent Component Analysis

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Year2009

Typearticle

Published2009-09-14

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2009.09.005

openalex_workW1992376937

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