Pit Götz

Martin-Luther-University Halle-Wittenberg

Pit Götz is a research assistant and doctoral candidate at the Martin-Luther-University Halle-Wittenberg, Germany, at the Chair of Finance and Banking. He holds a B.Sc. and an M.Sc. in Applied Mathematics. The topic of his Ph.D. thesis is elicitability of statistical functionals with applications to risk management. His research interests include risk management, financial econometrics and financial engineering.

Articles by Pit Götz

Original research

Realized quantity extended conditional autoregressive value-at-risk models

The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.

06 Nov 2023