Gunter Bamberg

University of Augsburg - Department of Statistics and Mathematical Economic Theory

Augsburg, 86135

Germany

SCHOLARLY PAPERS

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Scholarly Papers (3)

1.

On the Non-Existence of Conditional Value-at-Risk under Heavy Tails and Short Sales

OR Spectrum, Forthcoming
Posted: 25 Feb 2009 Last Revised: 02 Mar 2009
Gunter Bamberg and Andreas Neuhierl
University of Augsburg - Department of Statistics and Mathematical Economic Theory and University of Notre Dame - Department of Finance

Abstract:

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Conditional value-at-risk, Value-at-risk, Heavy tails

2.

Equity Index Replication with Standard and Robust Regression Estimators

OR Spektrum, Vol. 22, No. 4, November 2000
Posted: 23 Feb 2001 Last Revised: 09 Oct 2009
Gunter Bamberg and Niklas Wagner
University of Augsburg - Department of Statistics and Mathematical Economic Theory and Passau University

Abstract:

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Approximate equity index replication, linear regression, robust estimation, non-linear estimation, tracking error

3.

A Model for Analyzing Limit Order Trading in Index Futures Markets

OR Spektrum, Vol. 21, Issue 1-2, 1999
Posted: 27 May 1999
Gunter Bamberg and Gregor Dorfleitner
University of Augsburg - Department of Statistics and Mathematical Economic Theory and University of Regensburg - Department of Finance

Abstract:

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