Search Results - subject:"back-testing"

Comparative analysis of futures contract cross-hedging effectiveness for soybean : models and insights

Erasmus, M. C.; Geyser, J. M. - In: Agrekon 63 (2024) 4, pp. 319-336

Persistent link: https://www.econbiz.de/10015189472

Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of forecasting 42 (2023) 8, pp. 2139-2166

Persistent link: https://www.econbiz.de/10014432866

Artificially intelligent marketplaces

Lin, Ruiqi; Kireyev, Pavel - 2022

Persistent link: https://www.econbiz.de/10013371248

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-19

In this paper, we extend the parametric approach of VaR estimation that is based upon the application of two transforms, one for handling skewness and other for kurtosis. These transformations restore normality to data when applied in succession. The transforms are well defined and offer an...

Persistent link: https://www.econbiz.de/10012611608

Transformational approach to analytical value-at-risk for near normal distributions

Prakash, Puneet; Sangwan, Vikas; Singh, Kewal - In: Journal of risk and financial management : JRFM 14 (2021) 2/51, pp. 1-19

Persistent link: https://www.econbiz.de/10012483525

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

Shift in factor investing : an empirical study in India

Bijoy, Kumar; Kedia, Aman - In: Mudra : journal of finance and accounting 10 (2023) 2, pp. 75-98

Persistent link: https://www.econbiz.de/10014488993

Evaluating risk and stress-testing challenges for central counterparties

Viollet, Franck - In: Journal of securities operations & custody 15 (2023) 2, pp. 123-133

Persistent link: https://www.econbiz.de/10014267115

Revisión técnica del Estudio de Sostenibilidad del Régimen de Invalidez, Vejez y Muerte Costarricense

Víquez, Juan J.; Robles, Edgar - In: Revista de ciencias económicas 37 (2019) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10012491047

Coalition feature interpretation and attribution in algorithmic trading models

Hansen, James V. - In: Computational economics 58 (2021) 3, pp. 849-866

Persistent link: https://www.econbiz.de/10012651042