Search Results - subject:"Backtesting"

The impact of the market risk of capital regulations on bank activities

Eksi, Emrah - 2006

.Thirdly, three backtesting methodologies are applied to the VaR models. The resultsindicate that a VaR model that provides accurate …

Persistent link: https://www.econbiz.de/10009461296

Backtesting VaR Accuracy: A Simple and Powerful Test

HURLIN, Christophe; TOKPAVI, Sessi - Laboratoire d'Économie d'Orléans (LEO), Faculté de … - 2006

Persistent link: https://www.econbiz.de/10010934108

Foreign exchange risk in a managed float regime : a case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417

Persistent link: https://www.econbiz.de/10010259786

Risk contagion in the north-western and southern European stock markets

Araújo, André da Silva de; Garcia, Maria Terese Medeiros - In: Journal of economics & business 69 (2013), pp. 1-34

Persistent link: https://www.econbiz.de/10010236667

Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange

Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10010458744

The two-sided Weibull distribution and forecasting financial tail risk

Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547

Persistent link: https://www.econbiz.de/10010212495

On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - In: Journal of banking & finance 37 (2013) 3, pp. 847-853

Persistent link: https://www.econbiz.de/10009708735

Comparison of temperature models using heating and cooling degree days futures

Göncü, Ahmet - In: Journal of Risk Finance 14 (2013) February, pp. 159-178

power of various temperature models, a statistical backtesting approach is utilised. The backtesting sample consists of the …-of-period backtesting helps reduce the effect of any meteorological forecast on the formation of futures prices. It is observed that the …

Persistent link: https://www.econbiz.de/10010815074

A Stochastic Model for Natural Gas Consumption: An Application for Turkey

GÖNCÜ, Ahmet; KARAHAN, Mehmet Oğuz; KUZUBAŞ, Tolga Umut - In: Iktisat Isletme ve Finans 28 (2013) 332, pp. 33-46

our model and evaluate the forecast performance by backtesting of the model at different forecast horizons using relative …

Persistent link: https://www.econbiz.de/10010894874

The two-sided Weibull distribution and forecasting financial tail risk

Chen, Qian; Gerlach, Richard H. - In: International Journal of Forecasting 29 (2013) 4, pp. 527-540

A two-sided Weibull is developed for modelling the conditional financial return distribution, for the purpose of forecasting tail risk measures. For comparison, a range of conditional return distributions are combined with four volatility specifications in order to forecast the tail risk in...

Persistent link: https://www.econbiz.de/10010709415