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Estimation window strategies for value-at-risk and expected shortfall forecasting

Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82

Persistent link: https://www.econbiz.de/10011914663

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

Berens, Tobias; Weiß, Gregor; Wied, Dominik - 2013

Persistent link: https://www.econbiz.de/10009776165

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

A new online-test for changes in correlations between assets

Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010

Persistent link: https://www.econbiz.de/10008839855

CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns

Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379646

Stabilität von Diversifikationseffekten im Markowitz-Modell

Bissantz, Nicolai; Steinorth, Verena; Ziggel, Daniel - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 5 (2011) 2, pp. 145-157

Persistent link: https://www.econbiz.de/10009299459

Stabilität von Diversifikationseffekten im Markowitz-Modell

Bissantz, Nicolai; Steinorth, Verena; Ziggel, Daniel - 2010

Persistent link: https://www.econbiz.de/10008839862

Diversification effects between stock indices

Bissantz, Nicolai; Ziggel, Daniel - 2010

Persistent link: https://www.econbiz.de/10008840762

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

Separate estimation of spatial dependence parameters and variance parameters in a spatial model

Arnold, Matthias; Wied, Dominik - 2010

Persistent link: https://www.econbiz.de/10008839884