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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

Copula parameter estimation : numerical considerations and implications for risk management

Weiß, Gregor - In: Journal of risk 13 (2010/11) 1, pp. 17-53

Persistent link: https://www.econbiz.de/10008699157

Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement

Weiß, Gregor - In: Kredit und Kapital 44 (2011) 4, pp. 543-577

Persistent link: https://www.econbiz.de/10009504812

Liquidity commonality and risk management

Weiß, Gregor; Supper, Hendrik - 2012

Persistent link: https://www.econbiz.de/10009507223

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

Copula Parameter Estimation – Numerical Considerations and Implications for Risk Management

Weiß, Gregor - 2011

The purpose of this paper is to present a comprehensive simulation study on the finite sample properties of minimum-distance and maximum-likelihood estimators for bivariate and multivariate parametric copulas. For five popular parametric copulas, classical maximum-likelihood is compared to a...

Persistent link: https://www.econbiz.de/10013133208

Modelling dependence of extreme events in energy markets using tail copulas

Jäschke, Stefan; Siburg, Karl Friedrich; Stoimenov, … - 2011

Persistent link: https://www.econbiz.de/10008841122

Investor behavior: essays on social interaction and decision-making

Breitmayer, Bastian - 2018

Persistent link: https://www.econbiz.de/10011913123