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Daniel Ziggel · Study

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Daniel Ziggel

4 works· latest 2016· 2 institutionscluster: provisional

h-index4

i104

Citations185

Works here4

09

11

14

16

Most cited in this library

New tests for jumps in semimartingale models2009 · 66 citations
A new set of improved Value-at-Risk backtests2014 · 60 citations
A new fluctuation test for constant variances with applications to finance2011 · 34 citations
Evaluating Value-at-Risk forecasts: A new set of multivariate backtests2016 · 25 citations

Works

4 shown

Evaluating Value-at-Risk forecasts: A new set of multivariate backtests

Journal of Banking & Finance·2016·3 authors·Open access

25citations

A new set of improved Value-at-Risk backtests

Journal of Banking & Finance·2014·4 authors

60citations

A new fluctuation test for constant variances with applications to finance

Metrika·2011·4 authors

34citations

New tests for jumps in semimartingale models

Statistical Inference for Stochastic Processes·2009·2 authors

66citations