Search Results - subject:"Backtesting"

Syuhada, Khreshna; Hakim, Arief; Suprijanto, Djoko - In: Energy economics 129 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014558988

Małecka, Marta - In: Journal of forecasting 43 (2024) 6, pp. 2021-2041

Persistent link: https://www.econbiz.de/10015110360

Chorniy, Vladimir; Arkhypov, Sergii - In: The journal of risk model validation 18 (2024) 4, pp. 21-56

Persistent link: https://www.econbiz.de/10015459697

Syuhada, Khreshna; Hakim, Arief - In: Finance research letters 62 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014530904

Biswas, Suparna; Sen, Rituparna - In: Journal of risk : JOR 26 (2024) 5, pp. 17-47

Persistent link: https://www.econbiz.de/10015651574

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012545817

Malecka, Marta - In: Argumenta oeconomica 46 (2021) 1, pp. 6-30

Persistent link: https://www.econbiz.de/10012622536

Mostafa, Fahad; Saha, Pritam; Islam, Mohammad Rafiqul; … - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-22

value at risk (VaR) of the simulations. We also estimate the tail-risk using VaR backtesting. Finally, we use an artificial …

Persistent link: https://www.econbiz.de/10012628344

Hassani, Samir Saissi; Dionne, Georges - 2021

Persistent link: https://www.econbiz.de/10012423037

Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20

introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for …

Persistent link: https://www.econbiz.de/10012588056

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