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Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014451960
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Korrelation und Copulae : eine Übersicht verschiedener Konzepte zur Modellierung der stochastischen Abhängigkeit
Weiß, Gregor - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 37 (2008) 1, pp. 33-36
Persistent link: https://www.econbiz.de/10003627010
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Comparing and quantifying tail dependence
Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103
Persistent link: https://www.econbiz.de/10015067023
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Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
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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
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Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy
Weiß, Gregor - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10009774463
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Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
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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
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Are copula-GoF-tests of any practical use? : empirical evidence for stocks, commodities and fx futures
Weiß, Gregor - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 173-188
Persistent link: https://www.econbiz.de/10009270151
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An order of asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - In: Insurance / Mathematics & economics 68 (2016), pp. 241-247
Persistent link: https://www.econbiz.de/10011493850