Search Results - subject:"Backtesting"

What derives the bond portfolio value-at-risk: Information roles of macroeconomic and financial stress factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...

Persistent link: https://www.econbiz.de/10011531882

Forecasting value-at-risk under different distributional assumptions

Braione, Manuela; Scholtes, Nicolas K. - In: Econometrics 4 (2016) 1, pp. 1-27

VaR forecasts is assessed by implementing standard statistical backtesting procedures used to rank the different …

Persistent link: https://www.econbiz.de/10011755300

Value-at-Risk with Application of DCC-GARCH Model

Meluzin, Tomas; Zinecker, Marek; Pietrzak, Michal Bernard; … - 2016

backtesting procedure. The results confirm that including volatility in the variance in DCC-GARCH-In model enables better …

Persistent link: https://www.econbiz.de/10012232485

Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index

Chen, Yi-Wen; Lin, Chu-Bin; Tu, Anthony H. - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2693-2710

Persistent link: https://www.econbiz.de/10012312671

Value-at-risk in frontier markets : adapted models and evidences from two North-African stock exchanges

El-Aroui, Mhamed-Ali; Snoussi, Wafa - In: African finance journal 22 (2020) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012316628

Using the extremal index for value-at-risk backtesting

Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584

Persistent link: https://www.econbiz.de/10012316700

Risk quantification for commodity ETFs: backtesting value-at-risk and expected shortfall

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: International review of financial analysis 70 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012318296

Risk quantification and validation for Bitcoin

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Operations research letters 48 (2020) 4, pp. 534-541

Persistent link: https://www.econbiz.de/10012294824

Noise fit, estimation error and a Sharpe information criterion

Paulsen, Dirk; Söhl, Jakob - In: Quantitative finance 20 (2020) 6, pp. 1027-1043

Persistent link: https://www.econbiz.de/10012262656

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716