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Jochen Krause - Publications

Oberassistent Prof. M. Paolella



Publications

Journal Articles (3)

A fast, accurate method for value-at-risk and expected shortfall
Jochen Krause, Marc Paolella
In: Econometrics, Vol. 2 (No. 2), p. 98-122, June 2014.


Time-varying mixture GARCH models and asymmetric volatility
Markus Haas, Jochen Krause, Marc Paolella, Sven Christian Steude
In: North American Journal of Economics and Finance, Vol. 26, p. 602-623, 2013.


Stable mixture GARCH models
Simon Broda, Markus Haas, Jochen Krause, Marc Paolella, Sven Christian Steude
In: Journal of Econometrics, Vol. 172 (No. 2), p. 292-306, 2013.


Dissertations (1)

Mixture Models in Financial Risk Modeling
Jochen Krause
Supervisor(s): Marc Paolella
University of Zurich, 2013.