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  • Search: person:"Supper, Hendrik"
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Year of publication
Subject
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Credit derivative 5 Kreditderivat 5 Theorie 5 Theory 5 Liquidity 4 Beta risk 3 Betafaktor 3 Bid-ask spread 3 Börsenkurs 3 Europa 3 Europe 3 Financial crisis 3 Financial econometrics 3 Finanzkrise 3 Finanzmarktökonometrie 3 Forecasting model 3 Geld-Brief-Spanne 3 Liquidität 3 Market liquidity 3 Marktliquidität 3 Multivariate Verteilung 3 Multivariate distribution 3 Prognoseverfahren 3 Risikomaß 3 Risk measure 3 Securities trading 3 Share price 3 Wertpapierhandel 3 2004-2010 2 ARCH model 2 ARCH-Modell 2 Commonality 2 Credit risk 2 Kreditrisiko 2 Liquidity-adjusted intraday Value-at-Risk 2 Risikoprämie 2 Risk premium 2 Vine copulas 2 Aktienmarkt 1 Asset pricing 1
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Online availability
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Free 5 Undetermined 4
Type of publication
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Article 6 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 2 Working Paper 2 Graue Literatur 1 Non-commercial literature 1
Language
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English 9 Undetermined 2
Author
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Supper, Hendrik 11 Weiß, Gregor 9 Meine, Christian 5 Weiß, Gregor N.F. 2 Irresberger, Felix 1
Published in...
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 2 Journal of banking & finance 2 European journal of operational research : EJOR 1 Journal of Banking & Finance 1 Review of derivatives research 1 Review of finance : journal of the European Finance Association 1
Source
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ECONIS (ZBW) 9 OLC EcoSci 1 RePEc 1
Showing 1 - 10 of 11
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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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Do CDS Spreads Move with Commonality in Liquidity?
Meine, Christian - 2015
We show that commonality in liquidity is priced in both the cross-section and time-series of credit default swap (CDS) premia. Protection buyers earn a statistically significant and economically important discount for bearing the risk of individual CDS illiquidity co-moving with CDS market...
Persistent link: https://www.econbiz.de/10013024707
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Is Tail Risk Priced in Credit Default Swap Premia?
Meine, Christian - 2015
We show that the propensity of a bank to experience extreme comovements in its credit default swap premia together with the market is priced in the bank's default swap spread during the financial crisis. We measure a bank's CDS tail beta by estimating the upper tail dependence between its...
Persistent link: https://www.econbiz.de/10013035759
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Is tail risk priced in credit default swap premia?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - 2013
Persistent link: https://www.econbiz.de/10009776158
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Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas
Weiß, Gregor - 2013
We propose to model the joint distribution of bid-ask spreads and log returns of a stock portfolio by using Autoregressive Conditional Double Poisson and GARCH processes for the marginals and vine copulas for the dependence structure. By estimating the joint multivariate distribution of both...
Persistent link: https://www.econbiz.de/10013091510
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Liquidity commonality and risk management
Weiß, Gregor; Supper, Hendrik - 2012
Persistent link: https://www.econbiz.de/10009507223
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Is tail risk priced in credit default swap premia?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - In: Review of finance : journal of the European Finance … 20 (2016) 1, pp. 287-336
Persistent link: https://www.econbiz.de/10011590586
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Do CDS spreads move with commonality in liquidity?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - In: Review of derivatives research 18 (2015) 3, pp. 225-261
Persistent link: https://www.econbiz.de/10011477302
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Cover Image
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor N.F.; Supper, Hendrik - In: Journal of Banking & Finance 37 (2013) 9, pp. 3334-3350
We propose to model the joint distribution of bid-ask spreads and log returns of a stock portfolio by using Autoregressive Conditional Double Poisson and GARCH processes for the marginals and vine copulas for the dependence structure. By estimating the joint multivariate distribution of both...
Persistent link: https://www.econbiz.de/10011065608
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Cover Image
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
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