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subject:"Structural break"
~isPartOf:"Journal of banking & finance"
~subject:"Theorie"
~type_genre:"Article in journal"
~type_genre:"Graue Literatur"
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Anderson, Heather M.
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Anghel, Dan Gabriel
1
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Journal of banking & finance
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139
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87
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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1
Data snooping bias in tests of the relative performance of multiple forecasting models
Anghel, Dan Gabriel
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012820405
Saved in:
2
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
3
Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
- In:
Journal of banking & finance
99
(
2019
),
pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
Saved in:
4
Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Paterlini, …
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
Saved in:
5
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
6
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
7
Generalized runs tests to detect randomness in hedge funds returns
Hentati-Kaffel, Rania
;
De Peretti, Philippe
- In:
Journal of banking & finance
50
(
2015
),
pp. 608-615
Persistent link: https://www.econbiz.de/10010510178
Saved in:
8
Risk models-at-risk
Boucher, Christophe
;
Daníelsson, Jón
;
Kouontchou, …
- In:
Journal of banking & finance
44
(
2014
),
pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
Saved in:
9
Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni
;
Sghaier, Nadia
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
Saved in:
10
Detecting the presence of insider trading via structural break tests
Olmo, Jose
;
Pilbeam, Keith
;
Pouliot, William
- In:
Journal of banking & finance
35
(
2011
)
11
,
pp. 2820-2828
Persistent link: https://www.econbiz.de/10009373153
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