Portfolio Value at Risk Based On Independent Components Analysis / Dynamics of State Price Density

(Wolfgang Härdle, Zdenek Hlavka (B1) und Vladimir Spokoiny (B5)

Literatur:

  • Ying Chen, Wolfgang Härdle, and Vladimir Spokoiny (2005): Portfolio Value at Risk Based on Independent Components Analysis (pdf).

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  • Wolfgang Härdlea and Zdenek Hlávka (2005): Dynamics of State Price Densities (pdf).

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  • Wolfgang Härdle and Adonis Yatchew (2001): Dynamic Nonparametric State Price Density Estimation (pdf).

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    Kontakt: Zdenek Hlavka, email