Search Results - subject:"Backtesting"

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012520880

Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430745

Acereda, Beatriz; León Valle, Ángel Manuel; Mora, Juan - In: Finance research letters 33 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012430835

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

Persistent link: https://www.econbiz.de/10012179547

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038

Persistent link: https://www.econbiz.de/10012497181

Gordy, Michael B.; McNeil, Alexander J. - In: Journal of banking & finance 116 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012489248

Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; … - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 1-24

their fairness and/or asymptotic fairness. Last, but not least, we propose two backtesting methodologies that are oriented …

Persistent link: https://www.econbiz.de/10014621278

Gurrola-Perez, Pedro; Murphy, David - 2015

Persistent link: https://www.econbiz.de/10010497517

Du, Zaichao; Escanciano, Juan Carlos - 2015

Persistent link: https://www.econbiz.de/10010532092

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …

Persistent link: https://www.econbiz.de/10011296114

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