Niels Wesselhöfft

Humboldt Universität zu Berlin | IRTG 1792

PhD Candidate

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

183

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

A Statistical Classification of Cryptocurrencies

Number of pages: 38 Posted: 30 Mar 2020 Last Revised: 13 Apr 2020
The Bucharest University of Economic Studies, Department of Statistics and Econometrics, Humboldt Universität zu Berlin | IRTG 1792, Blockchain Research Center, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 141 (256,830)

Abstract:

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Cryptocurrency, Classification, Multivariate Analysis, Factor Models, Synchronicity

2.

Constrained Kelly Portfolios Under Alpha-Stable Laws

IRTG 1792 Discussion Paper 2019-004
Number of pages: 25 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang K. Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center
Downloads 27 (593,938)

Abstract:

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High-Frequency, Multi-Fractal, Stable Distribution, Re-Scaling, Risk Management, Value at Risk, Quantile Distribution

3.

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

IRTG 1792 Discussion Paper 2019-003
Number of pages: 27 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang K. Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center
Downloads 15 (677,816)

Abstract:

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High-Frequency, Multi-Fractal, Stable Distribution, Re-Scaling, Risk Management, Value at Risk, Quantile Distribution

4.

Constrained Kelly Portfolios under α-Stable Laws

Posted: 30 Sep 2016 Last Revised: 05 Jan 2018
Niels Wesselhöfft
Humboldt Universität zu Berlin | IRTG 1792

Abstract:

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growth-optimal, Kelly criterion, protective put, portfolio optimization, stable distribution, Value at Risk