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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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Eine empirische Analyse der Rangkorrelationen zwischen verschiedenen Risikomaßen
Pfingsten, Andreas; Wagner, Peter; Wolferink, Carsten - In: Finanzwirtschaftliche Information, Anreizgestaltung und …, (pp. 79-103). 2004
Persistent link: https://www.econbiz.de/10002222384
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Assessing the risk of trading books empirically : does the choice of a risk measure matter?
Hahn, Carsten; Pfingsten, Andreas; Wagner, Peter - In: e-Finance : innovative Problemlösungen für …, (pp. 275-294). 2001
Persistent link: https://www.econbiz.de/10001615203
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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