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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
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88
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86
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79
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79
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76
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74
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72
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55
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55
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54
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49
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45
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45
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39
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37
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37
Value at Risk
37
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33
Basel Accord
32
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32
Value-at-risk
31
Expected shortfall
30
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30
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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
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1
Department of Economics and Finance, College of Business and Economics
1
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1
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1
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1
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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
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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
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271
The geometric-VaR
backtesting
method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
272
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
273
Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models
Trottier, Denis-Alexandre
;
Ardia, David
- In:
Finance research letters
18
(
2016
),
pp. 311-316
Persistent link: https://www.econbiz.de/10011657263
Saved in:
274
Comparison of ethical and conventional portfolios with second-order stochastic dominance efficiency test
Tas, Oktay
;
Tokmakcioglu, Kaya
;
Ugurlu, Umut
;
Isiker, Murat
- In:
International journal of Islamic and Middle Eastern …
9
(
2016
)
4
,
pp. 492-511
Persistent link: https://www.econbiz.de/10011659556
Saved in:
275
Solvency capital requirement for a temporal dependent losses in insurance
Araichi, Sawssen
;
Peretti, Christian de
;
Belkacem, Lotfi
- In:
Economic modelling
58
(
2016
),
pp. 588-598
Persistent link: https://www.econbiz.de/10011647930
Saved in:
276
Forecasting high-frequency risk measures
Banulescu, Denisa
;
Colletaz, Gilbert
;
Hurlin, Christophe
; …
- In:
Journal of forecasting
35
(
2016
)
3
,
pp. 224-249
Persistent link: https://www.econbiz.de/10011580273
Saved in:
277
Backtesting
aggregate risk
Danciulescu, Cristina
- In:
Journal of forecasting
35
(
2016
)
4
,
pp. 285-307
Persistent link: https://www.econbiz.de/10011580763
Saved in:
278
Value-at-risk estimation of foreign exchange rate risk in India
Swami, Onkar Shivraj
;
Pandey, Santosh Kumar
;
Pancholy, …
- In:
Asia-Pacific journal of management research and …
12
(
2016
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011559372
Saved in:
279
Tail risk in emerging markets of Southeastern Europe
Totić, Selena
;
Božović, Miloš
- In:
Applied economics
48
(
2016
)
19/21
,
pp. 1785-1798
Persistent link: https://www.econbiz.de/10011589813
Saved in:
280
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto
;
Watanabe, Toshiaki
;
Omori, Yasuhiro
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
Saved in:
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