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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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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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Liquidity commonality and risk management
Weiß, Gregor; Supper, Hendrik - 2012
Persistent link: https://www.econbiz.de/10009507223
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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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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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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
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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
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New backtests for unconditional coverage of the expected shortfall
Löser, Robert; Wied, Dominik; Ziggel, Daniel - 2016
Persistent link: https://www.econbiz.de/10011569406
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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