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Predicting risk with risk measures : an empirical study
Bräutigam, Marcel; Dacorogna, Michel M.; Kratz, Marie - 2018
Persistent link: https://www.econbiz.de/10011893272
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On the dependence between quantiles and dispersion estimators
Brautigam, Marcel; Kratz, Marie - 2018
Persistent link: https://www.econbiz.de/10012135476
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Bivariate FCLT for the sample quantile and measures of dispersion for augmented GARCH(p, q) processes
Bräutigam, Marcel; Kratz, Marie - 2019
Persistent link: https://www.econbiz.de/10012138444
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Risk neutral versus real-world distribution on puclicly listed bank corporations
Dacorogna, Michel M.; Miguelez, Juan-José Francisco; … - 2016
Persistent link: https://www.econbiz.de/10011734785