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~isPartOf:"Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823"
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
Insurance / Mathematics & economics
218
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European journal of operational research : EJOR
112
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012035248
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2
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
-
Sonderforschungsbereich Statistical Modelling of …
-
2018
Persistent link: https://www.econbiz.de/10011921089
Saved in:
3
New backtests for unconditional coverage of the expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
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2016
Persistent link: https://www.econbiz.de/10011569406
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4
A simple and focused backtest of value at risk
Krämer, Walter
;
Wied, Dominik
-
2015
Persistent link: https://www.econbiz.de/10011326839
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5
Testing for structural breaks in correlation : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
-
2013
Persistent link: https://www.econbiz.de/10009776165
Saved in:
6
Spatial dependence in stock returns - local normalization and VaR forecasts
Schmitt, Thilo A.
;
Schäfer, Rudi
;
Wied, Dominik
;
Guhr, …
-
2013
Persistent link: https://www.econbiz.de/10009776181
Saved in:
7
A new set of improved value-at-risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
-
2013
Persistent link: https://www.econbiz.de/10009793506
Saved in:
8
Liquidity commonality and risk management
Weiß, Gregor
;
Supper, Hendrik
-
2012
Persistent link: https://www.econbiz.de/10009507223
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9
Estimation of risk measures in energy portfolios using modern copula techniques
Jäschke, Stefan
-
2012
Persistent link: https://www.econbiz.de/10009632860
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