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Common factors governing VDAX movements and the maximum loss

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Authors and Affiliations

  1. Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, Institut für Statistik und Ökonometrie, Spandauer Strasse 1, D-10178, Berlin

    Matthias Fengler & Wolfgang Härdle

  2. Quantitative Research, Bankgesellschaft Berlin, Alexanderplatz 2, D-10178, Berlin

    Peter Schmidt

Authors
  1. Matthias Fengler
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  2. Wolfgang Härdle
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  3. Peter Schmidt
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Fengler, M., Härdle, W. & Schmidt, P. Common factors governing VDAX movements and the maximum loss. Fin Mkts Portfolio Mgmt 16, 16–29 (2002). https://doi.org/10.1007/s11408-002-0102-1

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