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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
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86
Portfolio selection
79
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79
Statistical test
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76
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74
Value-at-Risk
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Risiko
55
Risk
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54
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49
Statistical distribution
45
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39
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37
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Value at Risk
37
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33
Basel Accord
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Value-at-risk
31
Expected shortfall
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VAR model
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expected shortfall
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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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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
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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
Showing
211
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416
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211
Moment-Based Tests for Discrete Distributions
Bontemps, Christian
-
Institut d'Économie Industrielle (IDEI), Toulouse …
-
2013
example of the
backtesting
of VaR forecasts is treated in detail, and we provide simple moments that have good size and power … distribution. We finally apply our method to the
backtesting
of VaR forecasts derived from a T-GARCH(1,1) model estimated on …
Persistent link: https://www.econbiz.de/10010944622
Saved in:
212
Risk models–at–risk
Boucher, Christophe M.
;
Danielsson, Jon
;
Kouontchou, …
-
London School of Economics (LSE)
-
2013
outcomes from
backtesting
, considering the desirable quality of VaR models such as the frequency, independence and magnitude of …
Persistent link: https://www.econbiz.de/10011163494
Saved in:
213
Backtesting
lambda value at risk
Corbetta, Jacopo
;
Peri, Ilaria
- In:
The European journal of finance
24
(
2018
)
13
,
pp. 1075-1087
Persistent link: https://www.econbiz.de/10012258870
Saved in:
214
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
Saved in:
215
An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom
;
Van Vuuren, Gary
- In:
Investment management and financial innovations
15
(
2018
)
4
,
pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
Saved in:
216
Systematic testing of systematic trading strategies
Perumal, Kovlin
;
Flint, Emlyn
- In:
The journal of investment strategies
7
(
2018
)
3
,
pp. 29-49
Persistent link: https://www.econbiz.de/10012001984
Saved in:
217
A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets
Shaker-Akhtekhane, Saeed
;
Seighali, Mohsen
;
Poorabbas, …
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011992013
Saved in:
218
Back to
backtesting
: integrated
backtesting
for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
Saved in:
219
Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo
;
Gençay, Ramazan
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 30-46
Persistent link: https://www.econbiz.de/10011974231
Saved in:
220
Risikomanagement für heterogene Finanzportfolios
Moys, Gunnar
-
2018
Persistent link: https://www.econbiz.de/10011776858
Saved in:
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