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  • Search: subject:"Backtesting"
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Year of publication
Subject
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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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Online availability
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Free 201 Undetermined 165 CC license 19
Type of publication
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Article 293 Book / Working Paper 122 Other 1
Type of publication (narrower categories)
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Article in journal 206 Aufsatz in Zeitschrift 206 Working Paper 51 Arbeitspapier 34 Graue Literatur 32 Non-commercial literature 32 Article 22 research-article 7 Thesis 5 Hochschulschrift 3 Conference paper 2 Konferenzbeitrag 2 Aufsatz im Buch 1 Book section 1
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Language
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English 302 Undetermined 91 German 9 Spanish 5 Portuguese 3 French 2 Czech 1 Romanian 1 Slovenian 1 Turkish 1
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Author
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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
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ECONIS (ZBW) 247 RePEc 119 EconStor 39 Other ZBW resources 7 BASE 4
Showing 11 - 20 of 416
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Performance evaluation of a family of GARCH processes based on value at risk forecasts : data envelopment analysis approach
Babiš, Alex - In: Computational economics 66 (2025) 2, pp. 1379-1411
Persistent link: https://www.econbiz.de/10015590994
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Are parametric models still useful to measure the market risk of bank securities holdings?
Bianchi, Michele Leonardo; Del Vecchio, Leonardo; … - In: Borsa İstanbul Review 25 (2025) 6, pp. 1663-1681
empirically examine the characteristics of each approach and compare them through extensive backtesting. Results show that …
Persistent link: https://www.econbiz.de/10015636043
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Are parametric models still useful to measure the market risk of bank securities holdings?
Bianchi, Michele Leonardo; Del Vecchio, Leonardo; … - In: Borsa Istanbul Review 25 (2025) 6, pp. 1663-1681
empirically examine the characteristics of each approach and compare them through extensive backtesting. Results show that …
Persistent link: https://www.econbiz.de/10015552932
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012886096
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Deep learning for Bitcoin price direction prediction : models and trading strategies empirically compared
Omole, Oluwadamilare; Enke, David - In: Financial innovation : FIN 10 (2024), pp. 1-26
an accuracy of 82.44%. Three trading strategies and three investment positions are examined through backtesting. The long …
Persistent link: https://www.econbiz.de/10015361651
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Forecasting wind-photovoltaic energy production and income with traditional and ML techniques
Masala, Giovanni; Schischke, Amelie - In: Econometrics : open access journal 12 (2024) 4, pp. 1-15
evaluate the results by splitting the dataset into estimation windows and test windows, and using a backtesting technique. In …
Persistent link: https://www.econbiz.de/10015272780
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A hypothesis test for the long-term calibration in rating systems with overlapping time windows
Kurth, Patrick; Nendel, Max; Streicher, Jan - In: Risks : open access journal 12 (2024) 8, pp. 1-28
We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European System. In accordance with regulation,...
Persistent link: https://www.econbiz.de/10015065887
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S&P 500 stock selection using machine learning classifiers : a look into the changing role of factors
Caparrini, Antonio; Arroyo, Javier; Escayola Mansilla, Jordi - In: Research in international business and finance 70 (2024) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10015055318
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Spectral backtests unbounded and folded
Gordy, Michael B.; McNeil, Alexander J. - 2024
Persistent link: https://www.econbiz.de/10015056427
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The dynamic quantile approach for VaR estimation : empirical evidence from Indonesia banking industry
Saadah, Siti; Suhartoko, Yohanes B.; Uyanto, Stanislaus S. - In: Cogent business & management 11 (2024) 1, pp. 1-11
. According to results of a backtesting analysis using dynamic quantile (DQ) test at a 95% confidence level performed in this …
Persistent link: https://www.econbiz.de/10014540205
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