Malte S. Kurz

University of Hamburg

Hamburg

University of Hamburg - Hamburg Business School

Moorweidenstr. 18

Hamburg, 20148

Germany

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Scholarly Papers (1)

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Risk Assessment and Spurious Seasonality

Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19, 2021
Number of pages: 31 Posted: 22 Jun 2017 Last Revised: 04 Jun 2021
Malte S. Kurz, Malte S. Kurz and Stefan Mittnik
University of Hamburg - Hamburg Business SchoolUniversity of Hamburg and University of Kiel - Institute of Statistics & Econometrics
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Abstract:

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autocorrelation function, Basel III, GARCH, overlapping data, temporal aggregation