Volker Krätschmer - Veröffentlichungen allgemein

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A Generalized ARFIMA Process with Markov-Switching Fractional...

core.ac.uk

... of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model" by Volker Krätschmer,; (2007).

Integrals of random fuzzy sets | SpringerLink

link.springer.com

This paper tries to give a systematic investigation of integration of random fuzzy sets. Besides the widely used Aumann-integral adaptions of Pettis- and B

Parametric estimation of risk neutral density functions

edoc.hu-berlin.de

Autor(en): Maria Grith; Volker Krätschmer : Titel: Parametric estimation of risk neutral density functions ; Erscheinungsdatum:

Dynamic semiparametric factor models in risk neutral density...

link.springer.com

Enzo Giacomini, Wolfgang Härdle, and Volker Krätschmer. (2009). Dynamic semiparametric factor models in risk neutral density estimation. AStA Advances in ...

Dynamic Semiparametric Factor Models in RiskNeutral Density Estimation

edoc.hu-berlin.de

Autor(en): Enzo Giacomini; Wolfgang Härdle; Volker Krätschmer. Titel: Dynamic Semiparametric Factor Models in Risk Neutral Density ...

Few Remarks Concerning a Concept to Define Normally Distributed...

link.springer.com

A new concept to define normally distributed random fuzzy sets is introduced. Further investigations yield that up to a fuzzy constant normally distributed...

Central limit theorems for law-invariant coherent risk measures

edoc.hu-berlin.de

Autor(en): Denis Belomestny; Volker Krätschmer. Titel: Central limit theorems for law-invariant coherent risk measures. Erscheinungsdatum ...

Compactness in Spaces of Inner Regular Measures and a General...

edoc.hu-berlin.de

Autor(en): Volker Krätschmer. Titel: Compactness in Spaces of Inner Regular Measures and a General Portmanteau Lemma.

Reference Dependent Preferences and the EPK Puzzle

edoc.hu-berlin.de

Abstract (eng): Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact.

On σ−additive robust representation of convex risk measures for...

edoc.hu-berlin.de

Autor(en): Volker Krätschmer. Titel: On σ−additive robust representation of convex risk measures for unbounded financial positions in the ...

A Microeconomic Explanation of the EPK Paradox

edoc.hu-berlin.de

Autor(en): Wolfgang Härdle; Volker Krätschmer; Rouslan Moro : Titel: A Microeconomic Explanation of the EPK Paradox : Erscheinungsdatum:

Sensitivity of risk measures with respect to the normal approximation...

edoc.hu-berlin.de

Autor(en): Volker Krätschmer; Henryk Zähle. Titel: Sensitivity of risk measures with respect to the normal approximation of total claim ...

Representations for optimal stopping under dynamic monetary utility...

edoc.hu-berlin.de

Autor(en): Volker Krätschmer; John Schoenmakers. Titel: Representations for optimal stopping under dynamic monetary utility functionals ...

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Veröffentlichungen allgemein Volker Krätschmer