3 citations · 5 across the 3 of their papers we have counts for
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q-fin.RM2012★ 3 cited
Risk Measures in a Regime Switching Model Capturing Stylized Facts
Rainer Haidinger, Richard Warnung
We pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain addit…
q-fin.RM2010
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
Nikolaus Rab, Richard Warnung
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially cor…