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~person:"Ziggel, Daniel"
~subject:"1999-2009"
~subject:"Estimation"
~subject:"Portfolio selection"
~subject:"Value-at-Risk"
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1999-2009
Estimation
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Ziggel, Daniel
Wied, Dominik
8
Berens, Tobias
6
Bissantz, Nicolai
4
Weiß, Gregor
3
Steinorth, Verena
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Arnold, Matthias
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
5
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2
Journal of risk
2
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ECONIS (ZBW)
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New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
2
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
3
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:
4
A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks
Berens, Tobias
;
Wied, Dominik
;
Ziggel, Daniel
-
2013
Persistent link: https://www.econbiz.de/10009776171
Saved in:
5
Constructing a passive global stock market portfolio from a multigenerational family office perspective
Ziggel, Daniel
;
Armbruester, Christian
- In:
The journal of wealth management
19
(
2016
)
2
,
pp. 89-99
Persistent link: https://www.econbiz.de/10011559440
Saved in:
6
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
7
A new online-test for changes in correlations between assets
Arnold, Matthias
;
Bissantz, Nicolai
;
Wied, Dominik
; …
-
2010
Persistent link: https://www.econbiz.de/10008839855
Saved in:
8
Stabilität von Diversifikationseffekten im Markowitz-Modell
Bissantz, Nicolai
;
Steinorth, Verena
;
Ziggel, Daniel
-
2010
Persistent link: https://www.econbiz.de/10008839862
Saved in:
9
Diversification effects between stock indices
Bissantz, Kathrin
;
Bissantz, Nicolai
;
Ziggel, Daniel
-
2010
Persistent link: https://www.econbiz.de/10008840762
Saved in:
10
Automated portfolio optimization based on a new test for structural breaks
Berens, Tobias
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Acta Universitatis Danubius / Oeconomica
10
(
2014
)
2
,
pp. 243-264
Persistent link: https://www.econbiz.de/10010401331
Saved in:
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