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Zeitreihenmodelle zur Schätzung des Value at Risk von Aktien : Beurteilung im Hinblick auf die bankenaufsichtsrechtlichen Bestimmungen

Neumann, Kristin - 2000

Persistent link: https://www.econbiz.de/10001441505

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?

Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451960

Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement

Jensen, Sören - 2012

Persistent link: https://www.econbiz.de/10013360909

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models

Huggenberger, Markus - 2010

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

Persistent link: https://www.econbiz.de/10013138164