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Maximum entropy models for time-varying moments applied to daily financial returns
Herrmann, Klaus - 2011
Persistent link: https://www.econbiz.de/10009008742
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On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44
Persistent link: https://www.econbiz.de/10010469189
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Hunting for black swans in the European banking sector using extreme value analysis
Beirlant, Jan; Schoutens, Wim; De Spiegeleer, Jan; … - In: Advanced modelling in mathematical finance : in honour …, (pp. 147-166). 2016
Persistent link: https://www.econbiz.de/10011800355
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Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106
Persistent link: https://www.econbiz.de/10011959117
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Multivariate geometric tail- and range-value-at-risk
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 265-292
Persistent link: https://www.econbiz.de/10012194132