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Search: subject:"Backtesting"
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Backtesting
191
Risikomaß
186
Risk measure
186
backtesting
148
Theorie
130
Theory
129
Risk management
104
Risikomanagement
101
Forecasting model
93
Prognoseverfahren
93
ARCH-Modell
88
ARCH model
86
Portfolio selection
79
Portfolio-Management
79
Statistical test
76
Statistischer Test
76
Schätzung
74
Value-at-Risk
73
Estimation
72
Risiko
55
Risk
55
Volatility
54
Volatilität
49
Statistical distribution
45
Statistische Verteilung
45
GARCH
39
Bank risk
37
Bankrisiko
37
Value at Risk
37
Zeitreihenanalyse
33
Basel Accord
32
Time series analysis
32
Value-at-risk
31
Expected shortfall
30
VAR model
30
VAR-Modell
30
Basler Akkord
29
Estimation theory
29
Schätztheorie
29
expected shortfall
29
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Free
201
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165
CC license
19
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293
Book / Working Paper
122
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1
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206
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51
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34
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32
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32
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22
research-article
7
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302
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9
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5
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3
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Mora-Valencia, Andrés
11
Dionne, Georges
9
Hassani, Samir Saissi
9
Perote, Javier
9
Gerlach, Richard
7
Hurlin, Christophe
7
Stahl, Gerhard
7
Chen, Qian
6
Wied, Dominik
6
Ziggel, Daniel
6
Coppens, François
5
Cremers, Heinz
5
Escanciano, Juan Carlos
5
León Valle, Ángel Manuel
5
McAleer, Michael
5
McNeil, Alexander J.
5
Stehle, Richard
5
Tokpavi, Sessi
5
Berens, Tobias
4
Berkowitz, Jeremy
4
Christoffersen, Peter
4
Colletaz, Gilbert
4
HURLIN, Christophe
4
Jaschke, Stefan
4
Jiménez, Inés
4
Murphy, David
4
Pelletier, Denis
4
Račev, Svetlozar T.
4
Segnon, Mawuli
4
TOKPAVI, Sessi
4
Winkler, Gerhard
4
Ñíguez, Trino-Manuel
4
Alonso, Julio César
3
Angelidis, Timotheos
3
Ardia, David
3
Barendse, Sander
3
Beleraj, Antonela
3
Benos, Alexandros
3
Bianchi, Michele Leonardo
3
Bontemps, Christian
3
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Institution
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HAL
5
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
UNIVERSIDAD ICESI
3
Banco de la Republica de Colombia
2
Business School, University of Sydney
2
Center for Applied Economics and Policy Research (CAEPR), Department of Economics
2
Center for Financial Studies
2
Departamento de Estadistica, Universidad Carlos III de Madrid
2
Frankfurt School of Finance and Management
2
BANCO DE LA REPÚBLICA
1
Bank of England
1
Departamento de Economía, Universidad Carlos III de Madrid
1
Department of Economics and Finance, College of Business and Economics
1
Department of Economics, City University
1
Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe
1
Department of Economics, Poole College of Management
1
Department of Economics, University of Peloponnese
1
Econometric Society
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
Erasmus University Rotterdam, Econometric Institute
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Federal Reserve Board (Board of Governors of the Federal Reserve System)
1
Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE)
1
Institut ekonomických studií, Univerzita Karlova v Praze
1
Institut für Empirische Wirtschaftsforschung, Fachbereich Wirtschaftswissenschaften
1
Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center
1
Institute of Economic Research, Kyoto University
1
Institutionen för Nationalekonomi, Umeå Universitet
1
London School of Economics (LSE)
1
National Centre for Econometric Research (NCER)
1
Nationale Bank van België/Banque national de Belqique (BNB)
1
Nationalekonomiska Institutionen, Ekonomihögskolan
1
School of Economics and Management, University of Aarhus
1
School of Economics and Political Science, Universität St. Gallen
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
1
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Published in...
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The journal of risk model validation
12
Journal of banking & finance
10
Risks : open access journal
10
Finance research letters
8
International journal of forecasting
8
Computational economics
7
Journal of risk
7
Risks
7
Journal of forecasting
6
Quantitative finance
6
Working papers
6
Journal of financial econometrics
5
Applied economics
4
Energy economics
4
Frankfurt School - Working Paper Series
4
International Journal of Monetary Economics and Finance
4
Journal of Banking & Finance
4
Journal of Risk and Financial Management
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
MPRA Paper
4
The European journal of finance
4
Working Papers / HAL
4
Working Papers / Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
4
Applied Econometrics
3
CIRRELT
3
Computational Statistics & Data Analysis
3
Economic modelling
3
Economics letters
3
Financial innovation : FIN
3
International Journal of Forecasting
3
International Journal of Theoretical and Applied Finance (IJTAF)
3
Journal of empirical finance
3
Revista Brasileira de Finanças : RBFin
3
Applied economics letters
2
BORRADORES DE ECONOMÍA Y FINANZAS
2
Borradores de Economia
2
Business and Economics Research Journal
2
CFS Working Paper Series
2
Caepr Working Papers
2
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Source
All
ECONIS (ZBW)
247
RePEc
119
EconStor
39
Other ZBW resources
7
BASE
4
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101
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101
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
102
Systemic risk in Chinese financial industries : a vine copula grouped CoVaR approach
Hao, Xiaozhen
;
Chen, Zhenlong
- In:
Economic research
35
(
2022
)
1,3
,
pp. 2747-2763
Persistent link: https://www.econbiz.de/10014382240
Saved in:
103
Dynamic selection of Gram-Charlier expansions with risk targets : an application to cryptocurrencies
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Risk management : an international journal
24
(
2022
)
1
,
pp. 81-99
Persistent link: https://www.econbiz.de/10013163633
Saved in:
104
Technical analysis using Heiken Ashi Stochastic : to catch a trend, use a HASTOC
Trivedi, Smita Roy
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 1836-1847
Persistent link: https://www.econbiz.de/10013184393
Saved in:
105
Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
Brito, Rui Pedro
;
Júdice, Pedro
- In:
International transactions in operational research : a …
29
(
2022
)
4
,
pp. 2613-2648
Persistent link: https://www.econbiz.de/10012815220
Saved in:
106
Estimating and
backtesting
risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
107
Semi-nonparametric risk assessment with cryptocurrencies
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Research in international business and finance
59
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013410827
Saved in:
108
Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region
Chebbi, Ali
;
Hedhli, Amel
- In:
The quarterly review of economics and finance : journal …
84
(
2022
),
pp. 430-445
Persistent link: https://www.econbiz.de/10013335886
Saved in:
109
Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013478838
Saved in:
110
Multilevel and tail risk management
Khalaf, Lynda
;
Leccadito, Arturo
;
Urga, Giovanni
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 839-874
Persistent link: https://www.econbiz.de/10013460029
Saved in:
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