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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
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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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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