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~subject:"ARCH-Modell"
~subject:"Risikomanagement"
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Ziggel, Daniel
10
Bissantz, Nicolai
5
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3
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
3
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1
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
2
An innovative risk management methodology for trading equity indices based on change points
Gösmann, Josua
;
Ziggel, Daniel
- In:
The journal of asset management
19
(
2018
)
2
,
pp. 99-109
Persistent link: https://www.econbiz.de/10011847695
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Stabilität von Diversifikationseffekten im Markowitz-Modell
Bissantz, Nicolai
;
Steinorth, Verena
;
Ziggel, Daniel
-
2010
Persistent link: https://www.econbiz.de/10008839862
Saved in:
6
Diversification effects between stock indices
Bissantz, Kathrin
;
Bissantz, Nicolai
;
Ziggel, Daniel
-
2010
Persistent link: https://www.econbiz.de/10008840762
Saved in:
7
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
Saved in:
8
Stabilität von Diversifikationseffekten im Markowitz-Modell
Bissantz, Nicolai
;
Steinorth, Verena
;
Ziggel, Daniel
- In:
AStA Wirtschafts- und Sozialstatistisches Archiv
5
(
2011
)
2
,
pp. 145-157
Persistent link: https://www.econbiz.de/10009324609
Saved in:
9
An empirical study of correlation and volatility changes of stock indices and their impact on risk figures
Bissantz, Nicolai
;
Ziggel, Daniel
;
Bissantz, Kathrin
- In:
Acta Universitatis Danubius / Oeconomica
7
(
2011
)
4
,
pp. 127-141
Persistent link: https://www.econbiz.de/10009706575
Saved in:
10
Stabilität von Diversifikationseffekten im Markowitz-Modell
Bissantz, Nicolai
;
Steinorth, Verena
;
Ziggel, Daniel
- In:
Wirtschafts- und sozialstatistisches Archiv : ASTA ; …
5
(
2011
)
2
,
pp. 145-157
Persistent link: https://www.econbiz.de/10009299459
Saved in:
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