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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
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Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Weiß, Gregor - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10009774463
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Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement
Weiß, Gregor - In: Kredit und Kapital 44 (2011) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10009504812
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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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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Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
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Systemic risk and bank consolidation : international evidence
Weiß, Gregor; Neumann, Sascha; Bostandzic, Denefa - In: Journal of banking & finance 40 (2014), pp. 165-181
Persistent link: https://www.econbiz.de/10010402243
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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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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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Essays on risk management and systemic risk in insurance
Bierth, Christopher - 2016
Persistent link: https://www.econbiz.de/10012384638