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researcher

Richard Warnung

4 papers hereh-index 457 citations8 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • last author4

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • q-fin.RM2

identity via Semantic Scholar / OpenAlex

activity
20072012
most citedRisk Measures in a Regime Switching Model Capturing Stylized Facts

3 citations · 5 across the 3 of their papers we have counts for

collaborators
Showing 2010Show all

1 paper · 1 filter

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.