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Dependency modeling and value-at-risk forecasts for financial portfolios
Berger, Theo - 2013
Persistent link: https://www.econbiz.de/10013432837
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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
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On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309
Persistent link: https://www.econbiz.de/10011628354