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Search: subject:"backtest"
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Theorie
28
Theory
28
Risikomaß
18
Risk measure
18
Portfolio selection
17
Portfolio-Management
17
Backtest
16
backtest
16
Statistical test
14
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14
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13
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13
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13
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13
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7
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Expected shortfall
4
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4
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4
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4
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4
Wertpapierhandel
4
backtest overfitting
4
historical simulation
4
multiple testing
4
optimization
4
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3
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Hoogerheide, Lennart F.
4
López de Prado, Marcos M.
4
Ravazzolo, Francesco
4
Witzany, Jiří
4
Auer, Benjamin R.
3
Dijk, Herman K. van
3
Mögel, Benjamin
3
Bailey, David H.
2
Borwein, Jonathan M.
2
Chuang, Chung-Chu
2
Chuang, Shuo-Li
2
Coppola, Mariarosaria
2
D'Amato, Valeria
2
Kou, Steven
2
Paolella, Marc S.
2
Peng, Xianhua
2
Pitera, Marcin
2
Schinas, C. J.
2
Vezeris, D. Th.
2
Wang, Yi-Hsien
2
Yeh, Tsai-Jung
2
Abedin, Mohammad Zoynul
1
Aggarwal, Shalini
1
Alfonsi, Aurélien
1
Bizergianidou, V. A.
1
Bizergianidou, Vasiliki
1
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1
Blumberg, Stefano B.
1
Bonaccolto, Giovanni
1
Caporin, Massimiliano
1
Chen Zhou
1
Cheng, Siwei
1
Colivicchi, Ilaria
1
Dionne, Georges
1
Du, Zaichao
1
Firoozye, Nikan B.
1
Fissler, Tobias
1
Flennerhag, Sebastian
1
Gebbie, T. J.
1
Groll, Christian
1
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1
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3
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3
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2
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
International journal of public sector performance management : IJPSPM
1
International review of financial analysis
1
Journal of Risk Finance
1
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1
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1
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1
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1
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1
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1
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1
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1
Physica A: Statistical Mechanics and its Applications
1
Review of quantitative finance and accounting
1
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1
Risks : open access journal
1
The Journal of Risk Finance
1
The journal of computational finance
1
The journal of credit risk : published quarterly by Incisive Media
1
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ECONIS (ZBW)
35
RePEc
6
EconStor
5
Other ZBW resources
1
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1
QuantNet : transferring learning across trading strategies
Koshiyama, Adriano
;
Blumberg, Stefano B.
;
Firoozye, Nikan B.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1071-1090
Persistent link: https://www.econbiz.de/10013367886
Saved in:
2
Which user-friendly model is the best for Basel-III? : an emerging market study
Mozumder, Sharif
;
Abedin, Mohammad Zoynul
;
Lalon, Raad Mozib
- In:
Computational economics
64
(
2024
)
5
,
pp. 3049-3086
Persistent link: https://www.econbiz.de/10015144107
Saved in:
3
Backtesting systemic risk forecasts using multi-objective elicitability
Fissler, Tobias
;
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10015053421
Saved in:
4
Powerful backtests for historical simulation expected shortfall models
Du, Zaichao
;
Pei, Pei
;
Wang, Xuhui
;
Yang, Tao
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 864-874
Persistent link: https://www.econbiz.de/10015053499
Saved in:
5
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks
9
(
2021
)
1
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10013200688
Saved in:
6
A bayesian approach to measurement of
backtest
overfitting
Witzany, Jiří
- In:
Risks : open access journal
9
(
2021
)
1/18
,
pp. 1-22
ongoing discussion of how to estimate the probability of
backtest
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10012423034
Saved in:
7
A Bayesian Approach to
Backtest
Overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011787307
Saved in:
8
A Bayesian approach to
backtest
overfitting
Witzany, Jiří
-
2017
ongoing discussion how to estimate the probability of
back-test
overfitting and adjust the expected performance indicators …
Persistent link: https://www.econbiz.de/10011722180
Saved in:
9
Leveraging technical analysis and artificial intelligence - optimisation of global portfolio management through world indices
Kulshrestha, Nitin
;
Kamra, Vishal
;
Aggarwal, Shalini
- In:
International journal of public sector performance …
12
(
2023
)
3
,
pp. 445-461
Persistent link: https://www.econbiz.de/10014430812
Saved in:
10
An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning
;
Su, Xiaoman
;
Qi, Shuyuan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
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