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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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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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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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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 - 2013
Persistent link: https://www.econbiz.de/10009776158
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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