3 citations · 6 across the 5 of their papers we have counts for
5 papers
Joint FCLT for Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes
Marcel Bräutigam, Marie Kratz
In this paper, we establish a joint (bivariate) functional central limit theorem of the sample quantile and the -th absolute centred sample moment for functionals of mixing proc…
The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
Marcel Bräutigam, Marie Kratz
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future…
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(,) processes
Marcel Bräutigam, Marie Kratz
In this paper, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH(, ) processes. Our contribution is to complement the…
On the Dependence between Functions of Quantile and Dispersion Estimators
Marcel Bräutigam, Marie Kratz
In this paper, we derive the joint asymptotic distributions of functions of quantile estimators (the non-parametric sample quantile and the parametric location-scale quantile estim…
Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source
Marcel Bräutigam, Michel Dacorogna, Marie Kratz
Since the introduction of risk-based solvency regulation, pro-cyclicality has been a subject of concerns from all market participants. Here, we lay down a methodology to evaluate t…