Tobias Berens

University TU Dortmund

Emil-Figge-Straße 50

Dortmund, 44227

Germany

zeb/rolfes.schierenbeck.associates

Hammer Straße 165

Münster, 48149

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

570

CITATIONS

0

Scholarly Papers (2)

1.

A New Set of Improved Value-at-Risk Backtests

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 26 Aug 2013 Last Revised: 08 Jul 2014
Ruhr Universität Bochum, University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and Technical University of Dortmund
Downloads 253 (76,138)

Abstract:

Value-at-Risk, backtesting, Monte Carlo simulation

2.

Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?

Journal of Empirical Finance, Forthcoming
Number of pages: 39 Posted: 17 May 2013 Last Revised: 16 Mar 2015
Tobias Berens, Gregor N. F. Weiss and Dominik Wied
University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and Technical University of Dortmund
Downloads 215 (96,100)

Abstract:

CCC-GARCH, DCC-GARCH, Estimation window, Structural breaks, VaR-forecast