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Generalized runs tests to detect randomness in hedge funds returns
Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615
Persistent link: https://www.econbiz.de/10010510178
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, … - In: Journal of banking & finance 108 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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Pitfalls in backtesting Historical Simulation VaR models
Escanciano, Juan Carlos; Pei, Pei - In: Journal of banking & finance 36 (2012) 8, pp. 2233-2244
Persistent link: https://www.econbiz.de/10009655641
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Hedging structured credit products during the credit crisis : a horse race of 10 models
Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Journal of banking & finance 37 (2013) 5, pp. 1687-1705
Persistent link: https://www.econbiz.de/10009729477
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Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
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Detecting underestimates of risk in VaR models
Thiele, Stephen - In: Journal of banking & finance 101 (2019), pp. 12-20
Persistent link: https://www.econbiz.de/10012162586
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Bounds tests of the theory of purchasing power parity
Coe, Patrick J.; Serletis, Apostolos - In: Journal of banking & finance 26 (2002) 1, pp. 179-199
Persistent link: https://www.econbiz.de/10001636673