Search Results - subject:"Back-testing"

AI's predictable memory in financial analysis

Didisheim, Antoine; Fraschini, Martina; Somoza, Luciano - In: Economics letters 256 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015475428

Comparative analysis of futures contract cross-hedging effectiveness for soybean : models and insights

Erasmus, M. C.; Geyser, J. M. - In: Agrekon 63 (2024) 4, pp. 319-336

Persistent link: https://www.econbiz.de/10015189472

Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166

Persistent link: https://www.econbiz.de/10014432866

Concentrated liquidity in Ethereum blockchain's digital asset trading : insights from innovative back-testing algorithms

Luo, Kai; Jin, Nanlin; Ma, Jieming - In: Computational economics 66 (2025) 5, pp. 3607-3635

Persistent link: https://www.econbiz.de/10015591269

Back-testing credit risk parameters on low default portfolios : a simple Bayesian transfer learning approach with an application to sovereign risk‖

Caprioli, Sergio; Cavallari, Raphael; Foschi, Jacopo; … - In: Quantitative finance 25 (2025) 3, pp. 491-508

Persistent link: https://www.econbiz.de/10015534110

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...

Persistent link: https://www.econbiz.de/10012483525