Ernst C. Wit

activity

20122025

most citedGeneralized information criterion for model selection in penalized graphical models

5 citations · 12 across the 11 of their papers we have counts for

collaborators

Showing 2024Show all

2 papers · 1 filter

math.ST2024

Constructive and consistent estimation of quadratic minimax

Philip Kennerberg, Ernst C. Wit

We consider $k$ square integrable random variables $Y_{1}, ..., Y_{k}$ and $k$ random (row) vectors of length $p$ , $X_{1}, ..., X_{k}$ such that $X_{i} (l)$ is square integrable for $1 \leq i \leq k$ …

q-fin.RM2024

Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk

Katerina Rigana, Ernst C. Wit, Samantha Cook

Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based r…