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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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A new set of improved Value-at-Risk backtests
Ziggel, Daniel; Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of banking & finance 48 (2014), pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
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Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
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Value-at-Risk im Risikomanagement : der unevaluierte Standard
Ziggel, Daniel; Berens, Tobias; Wied, Dominik; Weiß, Gregor - In: Brennpunkt Risikomanagement und Regulierung, (pp. 167-175). 2015
Persistent link: https://www.econbiz.de/10010503304