Concepedia

Jochen Krause

JK

Statistics

Publications

5

Citations

154

H-Index

5

Active since

2011

Affiliations

Swiss Finance Institute(Current)

University of Zurich

University of Amsterdam

Jochen Krause is an author at Swiss Finance Institute specializing in economics, asset return modeling, and finance.

Publications per year

2011–2017

5

Publications

5

Stable mixture GARCH models

Simon A. Broda, Markus Haas, Jochen Krause et al. · Journal of Econometrics · 2012 · 61 citations

, , +17

Time-varying mixture GARCH models and asymmetric volatility

Markus Haas, Jochen Krause, Marc S. Paolella et al. · The North American Journal of Economics and Finance · 2013 · 33 citations

, , +14

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall

Jochen Krause, Marc S. Paolella · Econometrics · 2014 · 26 citations · Full text

, , +17

Approximating expected shortfall for heavy-tailed distributions

Simon A. Broda, Jochen Krause, Marc S. Paolella · Econometrics and Statistics · 2017 · 21 citations

, , +10

Stable Mixture GARCH Models

Simon A. Broda, Markus Haas, Jochen Krause et al. · SSRN Electronic Journal · 2011 · 13 citations · Full text

, , +17

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