Similar Search Results

Estimating the relation between digitalization and the market value of insurers

Fritzsch, Simon; Scharner, Philipp; Weiß, Gregor - In: Journal of Risk and Insurance 88 (2021) 3, pp. 529-567

Persistent link: https://www.econbiz.de/10012636069

Insurers' climate change risk management quality and natural disasters

Berry-Stölzle, Thomas; Fritzsch, Simon; Scharner, Philipp - In: The journal of risk & insurance 91 (2024) 2, pp. 263-298

Persistent link: https://www.econbiz.de/10014545181

Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?

Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451960

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

In this paper, we analyze the accuracy of the copula-GARCH and Dynamic Conditional Correlation (DCC) models for forecasting the value-at-risk (VaR) and expected shortfall (ES) of bivariate portfolios. We then try to answer two questions: First, does the correlation-based DCC model outperform the...

Persistent link: https://www.econbiz.de/10010989634