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Backtesting risk methodologies from one day to one year
Zumbach, Gilles O. - In: Journal of risk 9 (2006/07) 2, pp. 55-91
Persistent link: https://www.econbiz.de/10003697566
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Option pricing and ARCH processes
Zumbach, Gilles O. - In: Finance research letters 9 (2012) 3, pp. 144-156
Persistent link: https://www.econbiz.de/10009628114
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Tile test for back-testing risk evaluation
Zumbach, Gilles O. - In: Quantitative finance 21 (2021) 10, pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
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Stochastic regularization for the mean-variance allocation scheme
Zumbach, Gilles O. - In: Quantitative finance 19 (2019) 7, pp. 1097-1120
Persistent link: https://www.econbiz.de/10012194746
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Operations on inhomogeneous time series
Zumbach, Gilles O.; Müller, Ulrich A. - In: International journal of theoretical and applied finance 4 (2001) 1, pp. 147-177
Persistent link: https://www.econbiz.de/10001554233
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Measuring shocks in financial markets
Zumbach, Gilles O. (contributor) - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 347-355
Persistent link: https://www.econbiz.de/10001522882