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Department of Statistics
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Research
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Areas
Econometrics
Demetrescu (2023) Monitoring Value-at-Risk and Expected Shortfall Forecasts; Management Science 69 (5), 2954–2971. DOI Walsh, C. und Jentsch, C. (2023). Nearest Neighbor Matching: M-out-of-N Bootstrapping [...] Volatility: A Real-Time Evaluation of Professional Forecasters; Journal of Applied Econometrics 37 (5), 1010–1030. DOI Steinmetz, J. und Jentsch, C. (2022). Asymptotic Theory for Mack's Model. Insurance: [...] Correlated Statistics with Application to Panel Data; Oxford Bulletin of Economics and Statistics 68 (5), 647–63. DOI For a comprehensive review of our research please visit the webpages of the Chair of …