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Rauh, Ronald's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
431 |
Total
Citations
1 |
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Gürtler, Marc
University of Braunschweig - Institute of Technology, Department of Finance Rauh, Ronald
Öffentliche Versicherung Braunschweig
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10 Jun 09
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Last Revised:
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01 Oct 09
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217
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delta-normal model, volatility, Value at Risk (VaR), heteroscedastic asset returns, non-stationarity, non-parametric regression, innovation modelling, forecasting, backtesting
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2.
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Gürtler, Marc
University of Braunschweig - Institute of Technology, Department of Finance Rauh, Ronald
Öffentliche Versicherung Braunschweig
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09 Jan 13
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Last Revised:
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12 Jan 13
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92
(143,195)
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heteroscedasticity, non-stationarity, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, multivariate distributional forecast, empirical studies
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3.
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Gürtler, Marc
University of Braunschweig - Institute of Technology, Department of Finance Rauh, Ronald
Öffentliche Versicherung Braunschweig
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67
(173,691)
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heteroscedastic asset returns, non-stationarity, nonparametric regression, volatility, innovation modelling, forecasting, Value at Risk (VaR), ARCH-models
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4.
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Gürtler, Marc
University of Braunschweig - Institute of Technology, Department of Finance Kreiss, Jens-Peter
Technische Universität Carolo-Wilhelmina zu Braunschweig Rauh, Ronald
Öffentliche Versicherung Braunschweig
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28 Sep 09
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Last Revised:
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12 Jan 13
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55
(192,096)
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non-stationary financial returns, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, distributional forecast, Value at Risk (VaR)
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Records 1 -
4
of 4 matches
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