Gregor Weiß

University of Leipzig

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Gregor Weiß studied business administration, mathematics, and management information systems at Universities in Passau, Hagen, and Kyoto focusing on financial economics and numerical analysis. He holds a PhD in economics from Ruhr-Universität Bochum. After one year working for renowned risk management consulting companies, he joined TU Dortmund as an assistant professor of finance in 2010. Since 2015, he is a full professor of finance and the dean of studies at the Faculty of Economics at Leipzig University.

Articles by Gregor Weiß

Original research

Estimation window strategies for value-at-risk and expected shortfall forecasting

This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.

26 Jun 2018