Search Results - subject:"Backtesting"

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

Persistent link: https://www.econbiz.de/10012292347

HRP performance comparison in portfolio optimization under various codependence and distance metrics

Barziy, Illya; Chlebus, Marcin - 2020

Persistent link: https://www.econbiz.de/10012322189

On the volatility of daily stock returns of Total Nigeria Plc : evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial innovation : FIN 6 (2020) 18, pp. 1-25

backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous … studies covering the Nigerian stock market have not paid much attention to the application of backtesting as a primary …

Persistent link: https://www.econbiz.de/10012268756

Asymmetric volatility effects in risk management: An empirical analysis using a stock index futures

Benavides, Guillermo - 2020

Persistent link: https://www.econbiz.de/10012616403

On the volatility of daily stock returns of Total Nigeria Plc: Evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial Innovation 6 (2020) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10012602854

Optimization of backtesting techniques in automated high frequency trading systems using the d-Backtest PS method

Vezeris, D. Th.; Schinas, C. J.; Kyrgos, Th. S.; … - In: Computational economics 56 (2020) 4, pp. 975-1054

Persistent link: https://www.econbiz.de/10012390502

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014546368

Value-at-risk and the global financial crisis

Ha Tran Manh; Mai Ngoc Tran - In: The journal of risk model validation 17 (2023) 1, pp. 41-83

Persistent link: https://www.econbiz.de/10014485605

Bayesian backtesting for counterparty risk models

Zelvyte, Mante; Arnsdorf, Matthias - In: The journal of risk model validation 17 (2023) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10014485763

What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models

Murphy, David - In: The journal of risk model validation 17 (2023) 2, pp. 59-81

Persistent link: https://www.econbiz.de/10014485769