Thorsten Glück

Wiesbaden Business School

Bleichstraße 44

Wiesbaden, 65189

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

1,021

SSRN CITATIONS

14

CROSSREF CITATIONS

0

Scholarly Papers (6)

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Number of pages: 53 Posted: 24 Nov 2011 Last Revised: 29 Jun 2016
Zeno Adams, Roland Füss and Thorsten Glück
University of St. Gallen - School of Finance, Swiss Finance Institute and Wiesbaden Business School
Downloads 309 (182,018)

Abstract:

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Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Journal of Banking and Finance, Forthcoming
Number of pages: 60 Posted: 30 Jun 2016 Last Revised: 15 Jul 2017
Zeno Adams, Roland Füss and Thorsten Glück
University of St. Gallen, Swiss Finance Institute and Wiesbaden Business School
Downloads 284 (198,969)
Citation 7

Abstract:

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Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation

2.

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect

Number of pages: 38 Posted: 01 Aug 2013
Zeno Adams and Thorsten Glück
University of St. Gallen and Wiesbaden Business School
Downloads 114 (445,700)

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Financialization, commodities, risk spillovers, style investing, state-dependent sensitivity VaR

3.

Systemic Risk of Commodity Traders

Number of pages: 67 Posted: 27 Dec 2022 Last Revised: 02 May 2024
Thorsten Glück and Zeno Adams
Wiesbaden Business School and University of St. Gallen - School of Finance
Downloads 108 (463,668)

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Systemic Risk; International Trade; Commodity Trading Firms

4.

An Averaging Framework for Minimum-Variance Portfolios: Optimal Rules for Combining Portfolio Weights

Swiss Finance Institute Research Paper No. 24-10
Number of pages: 66 Posted: 02 Feb 2024 Last Revised: 13 Apr 2024
Swiss Finance Institute, Wiesbaden Business School, University of St. Gallen and University of Applied Sciences Cologne
Downloads 103 (482,964)

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Averaging; diversification; estimation error; portfolio optimization; shrinkage.

5.

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect

University of St.Gallen, School of Finance Research Paper No. 2014/13
Number of pages: 47 Posted: 14 Aug 2014 Last Revised: 28 Oct 2014
Zeno Adams and Thorsten Glück
University of St. Gallen - School of Finance and Wiesbaden Business School
Downloads 103 (479,793)

Abstract:

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Financialization, commodities, risk spillovers, style investing, state-dependent sensitivity VaR

6.

Diversifying Estimation Errors: An Efficient Averaging Rule for Portfolio Optimization

University of St.Gallen, School of Finance Research Paper No.2021/05
Posted: 11 Feb 2021 Last Revised: 09 Sep 2023
Swiss Finance Institute, University of St. Gallen, University of Applied Sciences Cologne and Wiesbaden Business School

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Averaging; diversification; estimation error; portfolio optimization; shrinkage