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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

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

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

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Liquidity commonality and risk management

Weiß, Gregor; Supper, Hendrik - 2012

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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

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Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk

Scheffer, Marcus; Weiß, Gregor - In: Quantitative finance 20 (2020) 3, pp. 425-446

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Essays on risk management and systemic risk in insurance

Bierth, Christopher - 2016

Persistent link: https://www.econbiz.de/10012384638

An Order of Asymmetry in Copulas, and Implications for Risk Management

Siburg, Karl - 2016

We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its...

Persistent link: https://www.econbiz.de/10012996898