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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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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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Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
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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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Essays on univariate and multivariate modeling of financial market risks
Scheffer, Marcus - 2015
Persistent link: https://www.econbiz.de/10011645859
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Testing asymmetry in dependence with copula-coskewness
Bücher, Axel; Irresberger, Felix; Weiß, Gregor - In: North American actuarial journal 21 (2017) 2, pp. 267-280
Persistent link: https://www.econbiz.de/10011858031
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Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk
Scheffer, Marcus; Weiß, Gregor - In: Quantitative finance 20 (2020) 3, pp. 425-446
Persistent link: https://www.econbiz.de/10012194900
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Comparing and quantifying tail dependence
Siburg, Karl Friedrich; Weiß, Gregor - In: Insurance : mathematics and economics 118 (2024), pp. 95-103
Persistent link: https://www.econbiz.de/10015067023