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Year of publication
Subject
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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 Statistischer Test 14 Forecasting model 13 Prognoseverfahren 13 Risikomanagement 13 Risk management 13 Financial analysis 7 Finanzanalyse 7 Value-at-Risk 7 Risiko 6 Risk 6 investment strategy 6 Measurement 5 Messung 5 Simulation 5 Anlageverhalten 4 Behavioural finance 4 Electronic trading 4 Elektronisches Handelssystem 4 Estimation 4 Expected shortfall 4 MCMC 4 Schätzung 4 Securities trading 4 Value-at-risk 4 Wertpapierhandel 4 backtest overfitting 4 historical simulation 4 multiple testing 4 optimization 4 ARCH model 3 ARCH-Modell 3
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Online availability
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Undetermined 26 Free 16 CC license 1
Type of publication
All
Article 35 Book / Working Paper 12
Type of publication (narrower categories)
All
Article in journal 29 Aufsatz in Zeitschrift 29 Working Paper 7 Graue Literatur 5 Non-commercial literature 5 Arbeitspapier 4 Article 2 Hochschulschrift 1 research-article 1
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Language
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English 41 Undetermined 5 French 1
Author
All
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 Blanc, Pierre 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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Institution
All
Magyar Nemzeti Bank (MNB) 1 Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
All
Computational economics 3 Quantitative finance 3 Investment management and financial innovations 2 Journal of banking & finance 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Tinbergen Institute Discussion Papers 2 Assurances et gestion des risques : revue trimestrielle 1 CESifo Working Paper 1 CESifo working papers 1 Cambridge elements. Elements in quantitative finance 1 DNB working papers 1 Discussion paper / Tinbergen Institute 1 Econometrics 1 Econometrics : open access journal 1 Economic Modelling 1 Economic modelling 1 IES Working Paper 1 IES working paper 1 International journal of public sector performance management : IJPSPM 1 International review of financial analysis 1 Journal of Risk Finance 1 Journal of financial engineering 1 Journal of investment management : JOIM 1 Journal of mathematical finance 1 Journal of risk 1 Journal of risk & control 1 MNB Working Papers 1 Market microstructure and liquidity 1 Operations research 1 Physica A: Statistical Mechanics and its Applications 1 Review of quantitative finance and accounting 1 Risks 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 The journal of investment strategies 1 Tinbergen Institute Discussion Paper 1
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Source
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ECONIS (ZBW) 35 RePEc 6 EconStor 5 Other ZBW resources 1
Showing 31 - 40 of 47
Cover Image
How accurate are modern Value-at-Risk estimators derived from extreme value theory?
Mögel, Benjamin; Auer, Benjamin R. - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 979-1030
Persistent link: https://www.econbiz.de/10011979349
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Hedging and non-hedging trading strategies on commodities using the d-Backtest PS method : optimized trading system hedging
Vezeris, Dimitrios Th.; Kyrgos, Themistoklis S.; … - In: Investment management and financial innovations 15 (2018) 3, pp. 351-369
Persistent link: https://www.econbiz.de/10012055584
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The probability of backtest overfitting
Bailey, David H.; Borwein, Jonathan M.; López de … - In: The journal of computational finance 20 (2016/2017) 4, pp. 39-69
Persistent link: https://www.econbiz.de/10011691629
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Correctness of backtest engines
Löw, Robert; Maier-Paape, Stanislaus; Platen, Andreas - In: The journal of investment strategies 6 (2017) 3, pp. 31-52
Persistent link: https://www.econbiz.de/10011731211
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; van … - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10010326495
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Cover Image
Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10011256590
Saved in:
Cover Image
Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10009322510
Saved in:
Cover Image
Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011
Persistent link: https://www.econbiz.de/10009720750
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Cover Image
On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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