% You need the following packages in the main file to let this entry work:
% \usepackage[english,ngerman]{babel} multilingual support
% \usepackage{url} urls formatting
% \usepackage{hyperref} make url klickable, recommended
% Just put them into the preamble of the main .tex-file.
% You should possibly make some changes to the typography of this entry,
% e.g. quotation marks.
% Which fields of this entry will be shown in the bibliography depends on the bibtex-style, which you use
@masterthesis{oai:export,
author = {Irina Pimenova},
title = {Semi-parametric estimation of elliptical distribution in case of high dimensionality},
year = {2012},
publisher = {Wirtschaftswissenschaftliche Fakultät},
abstract = {This paper is devoted to the problem of high dimensionality in finance. We consider a joint multivariate density estimator of elliptical distribution which relies on a non-parametric estimation of a generator function. The factor model is employed in order to obtain a consistent covariance matrix estimator. We provide a simulation study that suggests that the considered estimator significantly outperforms the one based on the sample covariance matrix estimator. We also provide an empirical study using an example of a S&P500 portfolio. The returns of the resulted distribution are fat tailed and have a high peak. The comparison with other distributions illustrates the inappropriateness of normal or Student t distribution to fit the financial returns. Calculations of VaR are provided as an example of possible applications.},
url = { \url{http://edoc.hu-berlin.de/docviews/abstract.php?id=39706} },
url = { \url{urn:nbn:de:kobv:11-100205587} },
timestamp = {2015-01-27T23:07:32Z}
}