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Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

Aussenegg, Wolfgang; Miazhynskaia, Tatiana - In: Financial Markets and Portfolio Management 20 (2006) 3, pp. 243-264

Persistent link: https://www.econbiz.de/10005722911

Die Ermittlung der Faktorstruktur : Ein Multifaktor-APT Modell für den österreichischen Aktienmarkt

Aussenegg, Wolfgang - 1995 - Gabler Edition Wissenschaft

Persistent link: https://www.econbiz.de/10013512630

Going Public in Übergangsökonomien : Das Preisverhalten von Initial Public Offerings in Polen

Aussenegg, Wolfgang - 2000 - Gabler Edition Wissenschaft

In den zentral- und osteuropäischen Übergangsökonomien sind seit Anfang der neunziger Jahre Going-Public-Aktivitäten zu verzeichnen. Für eine erfolgreiche Transformation und die Entwicklung der Kapitalmärkte sind Privatisierungsprogramme von zentraler Bedeutung. Wolfgang Aussenegg...

Persistent link: https://www.econbiz.de/10013517530

Legal corporate insider trading and the price impact of private information : evidence for Germany

Aussenegg, Wolfgang; Ranzi, Robert - In: The open business journal 1 (2008) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10009582358

Corporate insider trading in Europe

Aussenegg, Wolfgang; Jelic, Ranko; Ranzi, Robert - In: Journal of international financial markets, … 54 (2018), pp. 27-42

Persistent link: https://www.econbiz.de/10011984021

European asset swap spreads and the credit crisis

Aussenegg, Wolfgang; Goetz, Lukas; Jelic, Ranko - In: The European journal of finance 22 (2016) 7/9, pp. 572-600

Persistent link: https://www.econbiz.de/10011619062

European 'fear' indices

Aussenegg, Wolfgang; Goetz, Lukas; Jelic, Ranko - In: Handbook of financial integration, (pp. 470-494). 2024

Persistent link: https://www.econbiz.de/10015078682

A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models

Miazhynskaia, Tatiana; Dorffner, Georg - In: Statistical Papers 47 (2006) 4, pp. 525-549

Persistent link: https://www.econbiz.de/10008533779

Bayesian testing for non-linearity in volatility modeling

Miazhynskaia, Tatiana; Fruhwirth-Schnatter, Sylvia; … - In: Computational Statistics & Data Analysis 51 (2006) 3, pp. 2029-2042

Persistent link: https://www.econbiz.de/10005172918

Pitfalls and remedies in testing the calibration quality of rating systems

Aussenegg, Wolfgang; Resch, Florian; Winkler, Gerhard - In: Journal of Banking & Finance 35 (2011) 3, pp. 698-708

Testing calibration quality by means of backtesting is an integral part in the validation of credit rating systems. Against this background this paper provides a comprehensive overview of existing testing procedures. We study the procedures' deficiencies theoretically and illustrate their impact...

Persistent link: https://www.econbiz.de/10008864686