Gregor N.F. Weiß
Gregor N.F. Weiß
Professor of Finance, University of Leipzig
Bestätigte E-Mail-Adresse bei - Startseite
Zitiert von
Zitiert von
Systemic risk and bank consolidation: International evidence
GNF Weiß, S Neumann, D Bostandzic
Journal of Banking & Finance 40, 165-181, 2014
What factors drive systemic risk during international financial crises?
GNF Weiß, D Bostandzic, S Neumann
Journal of Banking & Finance 41, 78-96, 2014
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
GNF Weiß, H Supper
Journal of Banking & Finance 37 (9), 3334-3350, 2013
Why do some insurers become systemically relevant?
GNF Weiß, J Mühlnickel
Journal of Financial Stability 13, 95-117, 2014
Copula parameter estimation by Maximum-Likelihood and Minimum-Distance estimators-A simulation study
GNF Weiß
Computational Statistics, Forthcoming, 2009
Mitigating Adverse Selection in P2P Lending–Empirical Evidence from Prosper. com
GNF Weiss, K Pelger, A Horsch
Available at SSRN 1650774, 2010
A new set of improved Value-at-Risk backtests
D Ziggel, T Berens, GNF Weiß, D Wied
Journal of Banking & Finance 48, 29-41, 2014
Why do US banks contribute more to global systemic risk?
D Bostandzic, GNF Weiß
Available at SSRN 2330411, 2013
A new set of improved value-at-risk backtests
T Berens, GNF Weiß, D Wied, D Ziggel
Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy
GNF Weiß
Review of Quantitative Finance and Accounting 41 (2), 179-202, 2013
Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
G Weiß
Computational Statistics 26 (1), 31-54, 2011
Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures
GNF Weiß
The Quarterly Review of Economics and Finance 51 (2), 173-188, 2011
Copula Parameter Estimation–Numerical Considerations and Implications for Risk Management
GNF Weiß
Journal of Risk 13 (1), 17-53, 2010
Mixture Pair-Copula-Constructions
GNF Weiss, M Scheffer
Journal of Banking and Finance, Forthcoming, 2015
Forecasting Portfolio-Value-at-Risk with Nonparametric Lower Tail Dependence Estimates
KF Siburg, P Stoimenov, GNF Weiß
Systemic risk, bank capital, and deposit insurance around the world
D Bostandzic, M Pelster, GNF Weiß
Bank Capital, and Deposit Insurance Around the World (October 7, 2014), 2014
Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
T Berens, GNF Weiss, D Wied
Available at SSRN 2265488, 2013
Analysing contagion and bailout effects with copulae
GNF Weiß
Journal of Economics and Finance 36 (1), 1-32, 2012
Bank stock performance and bank regulation around the globe
M Pelster, F Irresberger, GNF Weiss
Available at SSRN 2444744, 2014
Smooth nonparametric bernstein vine copulas
GNF Weiss, M Scheffer
Available at SSRN 2154458, 2012
Das System kann den Vorgang jetzt nicht ausführen. Versuchen Sie es später erneut.
Artikel 1–20