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Search: subject:"Backtest"
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Theorie
29
Theory
29
Risikomaß
20
Risk measure
20
Portfolio selection
17
Portfolio-Management
17
Backtest
16
backtest
16
Statistical test
15
Statistischer Test
15
Forecasting model
14
Prognoseverfahren
14
Risikomanagement
14
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14
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7
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investment strategy
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5
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4
Behavioural finance
4
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4
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Expected shortfall
4
MCMC
4
Securities trading
4
Statistical distribution
4
Statistische Verteilung
4
Value-at-risk
4
Wertpapierhandel
4
backtest overfitting
4
historical simulation
4
multiple testing
4
optimization
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27
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16
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1
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37
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12
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30
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Hoogerheide, Lennart F.
4
López de Prado, Marcos M.
4
Ravazzolo, Francesco
4
Witzany, Jiří
4
Auer, Benjamin R.
3
Dijk, Herman K. van
3
Mögel, Benjamin
3
Bailey, David H.
2
Borwein, Jonathan M.
2
Chuang, Chung-Chu
2
Chuang, Shuo-Li
2
Coppola, Mariarosaria
2
D'Amato, Valeria
2
Kou, Steven
2
Paolella, Marc S.
2
Peng, Xianhua
2
Pitera, Marcin
2
Schinas, C. J.
2
Vezeris, D. Th.
2
Wang, Yi-Hsien
2
Yeh, Tsai-Jung
2
Abedin, Mohammad Zoynul
1
Acerbi, Carlo
1
Aggarwal, Shalini
1
Alfonsi, Aurélien
1
Bizergianidou, V. A.
1
Bizergianidou, Vasiliki
1
Blanc, Pierre
1
Blumberg, Stefano B.
1
Bonaccolto, Giovanni
1
Caporin, Massimiliano
1
Chen Zhou
1
Cheng, Siwei
1
Colivicchi, Ilaria
1
Dionne, Georges
1
Du, Zaichao
1
Firoozye, Nikan B.
1
Fissler, Tobias
1
Flennerhag, Sebastian
1
Gebbie, T. J.
1
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Magyar Nemzeti Bank (MNB)
1
Tinbergen Institute
1
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1
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Computational economics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Quantitative finance
3
Investment management and financial innovations
2
Journal of banking & finance
2
Tinbergen Institute Discussion Papers
2
Assurances et gestion des risques : revue trimestrielle
1
CESifo Working Paper
1
CESifo working papers
1
Cambridge elements. Elements in quantitative finance
1
DNB working papers
1
Discussion paper / Tinbergen Institute
1
Econometrics
1
Econometrics : open access journal
1
Economic Modelling
1
Economic modelling
1
IES Working Paper
1
IES working paper
1
International journal of public sector performance management : IJPSPM
1
International review of financial analysis
1
Journal of Risk Finance
1
Journal of financial engineering
1
Journal of investment management : JOIM
1
Journal of mathematical finance
1
Journal of risk
1
Journal of risk & control
1
MNB Working Papers
1
Market microstructure and liquidity
1
Operations research
1
Peter Carr Gedenkschrift : research advances in mathematical finance
1
Physica A: Statistical Mechanics and its Applications
1
Review of quantitative finance and accounting
1
Risks
1
Risks : open access journal
1
The Journal of Risk Finance
1
The journal of computational finance
1
The journal of credit risk : published quarterly by Incisive Media
1
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1
Tinbergen Institute Discussion Paper
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ECONIS (ZBW)
37
RePEc
6
EconStor
5
Other ZBW resources
1
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1
A nonparametric bayesian estimator of copula density with applications to financial market
Wang, Qiaoyu
;
Wu, Ximing
- In:
Journal of business & economic statistics : JBES ; a …
43
(
2025
)
4
,
pp. 1021-1033
Persistent link: https://www.econbiz.de/10015534587
Saved in:
2
QuantNet : transferring learning across trading strategies
Koshiyama, Adriano
;
Blumberg, Stefano B.
;
Firoozye, Nikan B.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1071-1090
Persistent link: https://www.econbiz.de/10013367886
Saved in:
3
Backtesting systemic risk forecasts using multi-objective elicitability
Fissler, Tobias
;
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10015053421
Saved in:
4
A Bayesian approach to
backtest
overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011722180
Saved in:
5
Powerful backtests for historical simulation expected shortfall models
Du, Zaichao
;
Pei, Pei
;
Wang, Xuhui
;
Yang, Tao
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Saved in:
6
A Bayesian Approach to
Backtest
Overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011787307
Saved in:
7
Which user-friendly model is the best for Basel-III? : an emerging market study
Mozumder, Sharif
;
Abedin, Mohammad Zoynul
;
Lalon, Raad Mozib
- In:
Computational economics
64
(
2024
)
5
,
pp. 3049-3086
Persistent link: https://www.econbiz.de/10015144107
Saved in:
8
Backtestability and the ridge
backtest
Acerbi, Carlo
;
Szekely, Balazs
- In:
Peter Carr Gedenkschrift : research advances in …
,
(pp. 61-100)
.
2024
Persistent link: https://www.econbiz.de/10015446912
Saved in:
9
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks : open access journal
9
(
2021
)
1/18
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10012423034
Saved in:
10
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks
9
(
2021
)
1
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10013200688
Saved in:
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