Albertus-Magnus-Platz
Cologne, 50923
Germany
University of Cologne
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Value-at-Risk, backtesting, Monte Carlo simulation
CCC-GARCH, DCC-GARCH, Estimation window, Structural breaks, VaR-forecast
Cointegration, Monitoring, Stationarity, Structural Change, Unit Roots
Fluctuation test; Functional delta method; Gaussian process; Local power
Binary segmentation algorithm; Correlation matrix; CUSUM statistics; Financial returns; Multiple change point detection; Nonparametric estimation
Model Risk, Multivariate Backtesting, Value-at-Risk
Break-point detection, Multiplier bootstrap, Tail dependence, Weak convergence
Fixed effects, panel data, skewness, stochastic frontier analysis
Cramer-von Mises distance, quantile regression, distributional regression, location-scale model, bootstrap, wage distribution
Control function, endogeneity, isotonic regression, Mincer-type equations
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expected shortfall (ES), model risk, multivariate backtesting, unconditional coverage, hypothesis testing.