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Search: subject:"Backtesting"
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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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Free
201
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165
CC license
19
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Article
293
Book / Working Paper
122
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1
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206
Aufsatz in Zeitschrift
206
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51
Arbeitspapier
34
Graue Literatur
32
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32
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22
research-article
7
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5
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English
302
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91
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9
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5
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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...
All
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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191
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
192
Backtesting
VaR and ES under the magnifying glass
Argyropoulos, Christos
;
Panopulu, Aikaterinē
- In:
International review of financial analysis
64
(
2019
),
pp. 22-37
Persistent link: https://www.econbiz.de/10012208280
Saved in:
193
A general framework of optimal investment
Zhang, Liangliang
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 535-560
Persistent link: https://www.econbiz.de/10012210442
Saved in:
194
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
195
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
196
Prediction is difficult, even when it's about the past : a hindcast experiment using Res-IRF, an integrated energy-economy model
Glotin, David
;
Bourgeois, Cyril
;
Giraudet, Louis-Gaëtan
; …
- In:
Energy economics
84
(
2019
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012176871
Saved in:
197
The efficiency of the Anderson-Darling test with a limited sample size : an application to
backtesting
counterparty credit risk internal models
Formenti, Matteo
;
Spadafora, Luca
;
Terraneo, Marcello
; …
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 69-100
Persistent link: https://www.econbiz.de/10012117481
Saved in:
198
Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae
Manner, Hans
;
Fard, Farzad Alavi
;
Pourkhanali, Armin
; …
- In:
Energy economics
78
(
2019
),
pp. 143-164
Persistent link: https://www.econbiz.de/10012159908
Saved in:
199
Expected shortfall and portfolio management in contagious markets
Buccioli, Alice
;
Kokholm, Thomas
;
Nicolosi, Marco
- In:
Journal of banking & finance
102
(
2019
),
pp. 100-115
Persistent link: https://www.econbiz.de/10012162736
Saved in:
200
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
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