Gregor Weiß - Publications, H-index & Citations

Gregor Weiß

leipzig university

21H指数

145论文数

1.6K被引数

收录论文 20

发表时间

Predicting option prices from their price history via machine learning 利用机器学习根据期权价格历史预测期权价格

Review of Derivatives Research

IF0.9

2026-04-11

PREAI

Fritzsch, Simon; Irresberger, Felix; Weiss, Gregor

Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?

JOURNAL OF BANKING & FINANCE

IF3.8

2024-01-01

OAAI

Fritzsch, Simon; Timphus, Maike; Weiss, Gregor

Bi-objective reliability based optimization: an application to investment analysis

ANNALS OF OPERATIONS RESEARCH

IF4.5

2023-11-16

PREAI

Sengupta, Raghu Nandan; Gupta, Aditya; Mukherjee, Subhankar; Weiss, Gregor

Do Capital Requirements Make Banks Safer? Evidence From a Quasinatural Experiment

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

IF2.8

2021-09-10

OAAI

Bostandzic, Denefa; Irresberger, Felix; Juelsrud, Ragnar E.; Weiss, Gregor

A comparison of tail dependence estimators

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2020-07-01

OAAI

Supper, Hendrik; Irresberger, Felix; Weiss, Gregor

Liquidity tail risk and credit default swap spreads

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2018-09-01

OAAI

Irresberger, Felix; Weiss, Gregor N. F.; Gabrysch, Janet; Gabrysch, Sandra

Why do some banks contribute more to global systemic risk?

JOURNAL OF FINANCIAL INTERMEDIATION

IF3.7

2018-07-01

PREAI

Bostandzic, Denefa; Weiss, Gregor N. F.

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

JOURNAL OF BANKING & FINANCE

IF3.8

2016-11-01

PREAI

Wied, Dominik; Weiss, Gregor N. F.; Ziggel, Daniel

Derivatives usage, securitization, and the crash sensitivity of bank stocks

JOURNAL OF BANKING & FINANCE

IF3.8

2016-10-01

PREAI

Trapp, Rouven; Weiss, Gregor N. F.

Explaining bank stock performance with crisis sentiment

JOURNAL OF BANKING & FINANCE

IF3.8

2015-10-01

OAAI

Irresberger, Felix; Muehlnickel, Janina; Weiss, Gregor N. F.

Consolidation and systemic risk in the international insurance industry 国际保险业的整合和系统性风险

JOURNAL OF FINANCIAL STABILITY

IF4.2

2015-06-01

PREAI

Muehlnickel, Janina; Weiss, Gregor N. F.

Systemic risk of insurers around the globe 全球保险公司的系统性风险

JOURNAL OF BANKING & FINANCE

IF3.8

2015-06-01

OAAI

Bierth, Christopher; Irresberger, Felix; Weiss, Gregor N. F.

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

JOURNAL OF BANKING & FINANCE

IF3.8

2015-05-01

OAAI

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiss, Gregor N. F.

Mixture pair-copula-constructions

JOURNAL OF BANKING & FINANCE

IF3.8

2015-05-01

PREAI

Weiss, Gregor N. F.; Scheffer, Marcus

Is Tail Risk Priced in Credit Default Swap Premia?

REVIEW OF FINANCE

IF8.4

2015-03-31

OAAI

Meine, Christian; Supper, Hendrik; Weiss, Gregor N. F.

A new set of improved Value-at-Risk backtests

JOURNAL OF BANKING & FINANCE

IF3.8

2014-11-01

OAAI

Ziggel, Daniel; Berens, Tobias; Weiss, Gregor N. F.; Wied, Dominik

Why do some insurers become systemically relevant?

JOURNAL OF FINANCIAL STABILITY

IF4.2

2014-08-01

OAAI

Weiss, Gregor N. F.; Muehlnickel, Janina

What factors drive systemic risk during international financial crises?

JOURNAL OF BANKING & FINANCE

IF3.8

2014-04-01

PREAI

Weiss, Gregor N. F.; Bostandzic, Denefa; Neumann, Sascha

Systemic risk and bank consolidation: International evidence 系统性风险与银行整合: 国际证据

JOURNAL OF BANKING & FINANCE

IF3.8

2014-03-01

PREAI

Weiss, Gregor N. F.; Neumann, Sascha; Bostandzic, Denefa

Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas

JOURNAL OF BANKING & FINANCE

IF3.8

2013-09-01

PREAI

Weiss, Gregor N. F.; Supper, Hendrik

研究方向