Narrow search
Showing 1 - 10 of 29
Cover Image
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
Cover Image
Testing Asymmetry in Dependence with Copula-Coskewness
Bücher, Axel - 2017
A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...
Persistent link: https://www.econbiz.de/10012969389
Cover Image
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
Cover Image
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
Cover Image
Liquidity commonality and risk management
Weiß, Gregor; Supper, Hendrik - 2012
Persistent link: https://www.econbiz.de/10009507223
Cover Image
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
Cover Image
Why do some insurers become systemically relevant?
Weiß, Gregor; Mühlnickel, Janina - 2013
Persistent link: https://www.econbiz.de/10009776156
Cover Image
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
Cover Image
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
Cover Image
Why do some insurers become systemically relevant?
Weiß, Gregor; Mühlnickel, Janina - In: Journal of financial stability 13 (2014), pp. 95-117
Persistent link: https://www.econbiz.de/10011288871