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math.ST2019
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…
math.ST2019★ 3 cited
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…
q-fin.RM2019★ 2 cited
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…