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Testing the correct specification of a system of spatial dependence models for stock returns

Kutzker, Tim; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2083-2103

Persistent link: https://www.econbiz.de/10014520115

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Spatial dependence in stock returns - local normalization and VaR forecasts

Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - 2013

Persistent link: https://www.econbiz.de/10009776181

Spatial dependence in stock returns : local normalization and VaR forecasts

Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109

Persistent link: https://www.econbiz.de/10011481381

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

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809