Value at risk using hyperbolic distributions
Tài liệu tham khảo
Atkinson, 1982, The simulation of generalized inverse Gaussian and hyperbolic random variables, SIAM Journal of Scientific and Statistical Computations, 3, 502, 10.1137/0903033
Bagnold, 1980, The pattern of natural size distribution, Sedimentology, 27, 199, 10.1111/j.1365-3091.1980.tb01170.x
Barndorff–Nielsen, 1985, The fascination of sand, 57
Bauer, C. 1998. Value-at-risk bei hyperbolischer Verteilung. Master’s thesis, Bayreuth.
Blæsild, 1981, The two-dimensional hyperbolic distribution and related distributions, with an application to Johannsen’s bean data, Biometrica, 68, 251, 10.1093/biomet/68.1.251
Blæsild, P. 1990. Hyperbolic Distributions: Cumulants, Skewness and Kurtosis, volume 209 of Research Reports. Department of Theoretical Statistics, Institute of Mathematics University of Aarhus, Aarhus.
Blæsild, P. 1990. The Shape Cone of the d-Dimensional Hyperbolic Distribution, volume 208 of Research Reports. Department of Theoretical Statistics, Institute of Mathematics University of Aarhus, Aarhus.
Blæsild, P., and Sørensen, M. K. (1992). ‘hyp’—a Computer Program for Analyzing Data by Means of the Hyperbolic Distribution, volume 248 of Research Reports. Department of Theoretical Statistics, Institute of Mathematics University of Aarhus, Aarhus.
Bühler, 1998, Ermittlung von Eigenkapitalanforderungen mit Internen Modellen, Der Betriebswirt, 58, 64
Fang, 1990
Haaf, H. 1996. Mathematische Beschreibung der δ-Γ-Methode. Unpublished working paper.
Longerstaey, J., and Zangari, P. 1995. Five Questions about RiskMetrics™. New York: J. P. Morgan, http://www.jpmorgan.com/RiskManagement/ RiskMetrics.
Longerstaey, J., Zangari, P., Finger, C. C., and Howard, S. 1996. RiskMetrics™—Technical Dokument. New York: J. P. Morgan, 4th edition. http://www.jpmorgan.com/RiskManagement/RiskMetrics/RiskMetrics.html.
Stangier, W. 1994. Effiziente Schätzung der Wahrscheinlichkeitsdichte durch Kerne, volume 24 of Arbeiten zur Angewandten Statistik. Physika Verlag, Würzburg.