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Time varying quantile Lasso
Härdle, Wolfgang; Wang, Weining; Zboňáková, L. - In: Applied quantitative finance, (pp. 331-353). 2017
Persistent link: https://www.econbiz.de/10011794971
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Backtesting beyond VaR
Härdle, Wolfgang; Stahl, Gerhard - In: Measuring risk in complex stochastic systems, (pp. 119-130). 2000
Persistent link: https://www.econbiz.de/10001579728
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Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten
Böcker, Klaus; Klüppelberg, Claudia - In: Risikomanagement und kapitalmarktorientierte …, (pp. 403-420). 2009
Persistent link: https://www.econbiz.de/10003861248
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Optimal consumption and investment with bounded downside risk for power utility functions
Klüppelberg, Claudia; Pergamenchtchikov, Serguei - In: Optimality and risk - modern trends in mathematical …, (pp. 133-170). 2009
Persistent link: https://www.econbiz.de/10003948439
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Modeling dependencies with copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009
Persistent link: https://www.econbiz.de/10003745932