Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(backtesting). Showing records 1 – 30 of 56 total matches.

[1] [2]

Search Limiters

Last 2 Years | English Only

Languages

Country

▼ Search Limiters


University of Cape Town

1. Arbi, Riaz. A reproducible approach to equity backtesting.

Degree: MSc, Statistical Sciences, 2019, University of Cape Town

 Research findings relating to anomalous equity returns should ideally be repeatable by others. Usually, only a small subset of the decisions made in a particular… (more)

Subjects/Keywords: Equity Backtesting; Reproducible Research; Event-based Backtesting; R; RStudio

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Arbi, R. (2019). A reproducible approach to equity backtesting. (Masters Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/31158

Chicago Manual of Style (16th Edition):

Arbi, Riaz. “A reproducible approach to equity backtesting.” 2019. Masters Thesis, University of Cape Town. Accessed December 03, 2020. http://hdl.handle.net/11427/31158.

MLA Handbook (7th Edition):

Arbi, Riaz. “A reproducible approach to equity backtesting.” 2019. Web. 03 Dec 2020.

Vancouver:

Arbi R. A reproducible approach to equity backtesting. [Internet] [Masters thesis]. University of Cape Town; 2019. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11427/31158.

Council of Science Editors:

Arbi R. A reproducible approach to equity backtesting. [Masters Thesis]. University of Cape Town; 2019. Available from: http://hdl.handle.net/11427/31158


KTH

2. Edberg, Patrik. Non-parametricbacktesting of expected shortfall.

Degree: Mathematical Statistics, 2017, KTH

Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question… (more)

Subjects/Keywords: Backtesting Expected Shortfall; Non-parametric; Backtesting under Basel III; Backtesting under Fundamental review of the trading book.; Mathematical Analysis; Matematisk analys

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Edberg, P. (2017). Non-parametricbacktesting of expected shortfall. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Edberg, Patrik. “Non-parametricbacktesting of expected shortfall.” 2017. Thesis, KTH. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Edberg, Patrik. “Non-parametricbacktesting of expected shortfall.” 2017. Web. 03 Dec 2020.

Vancouver:

Edberg P. Non-parametricbacktesting of expected shortfall. [Internet] [Thesis]. KTH; 2017. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Edberg P. Non-parametricbacktesting of expected shortfall. [Thesis]. KTH; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207009

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

3. Louro, Rui Alexandre Narciso Miguens. Evaluation of volatility models for forecasting value at risk in stock prices.

Degree: 2016, Technical University of Lisbon

Mestrado em Econometria Aplicada e Previsão

O trabalho descrito nesta Tese é referente ao cálculo de Value at Risk e Expected Shortfall que presentemente são… (more)

Subjects/Keywords: GARCH; Value at Risk; Expected Shortfall; backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Louro, R. A. N. M. (2016). Evaluation of volatility models for forecasting value at risk in stock prices. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Louro, Rui Alexandre Narciso Miguens. “Evaluation of volatility models for forecasting value at risk in stock prices.” 2016. Thesis, Technical University of Lisbon. Accessed December 03, 2020. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Louro, Rui Alexandre Narciso Miguens. “Evaluation of volatility models for forecasting value at risk in stock prices.” 2016. Web. 03 Dec 2020.

Vancouver:

Louro RANM. Evaluation of volatility models for forecasting value at risk in stock prices. [Internet] [Thesis]. Technical University of Lisbon; 2016. [cited 2020 Dec 03]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Louro RANM. Evaluation of volatility models for forecasting value at risk in stock prices. [Thesis]. Technical University of Lisbon; 2016. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/12888

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

4. Vieira, Joana Bruno. Modeling volatility: an assessment of the value at risk approach.

Degree: 2012, RCAAP

Mestrado em Finanças

Value at Risk (VaR) tornou-se uma das mais populares técnicas de medição e controlo de risco, nomeadamente risco de mercado. Esta medida… (more)

Subjects/Keywords: Value at risk; Volatility; GARCH; Backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Vieira, J. B. (2012). Modeling volatility: an assessment of the value at risk approach. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/5168

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Vieira, Joana Bruno. “Modeling volatility: an assessment of the value at risk approach.” 2012. Thesis, RCAAP. Accessed December 03, 2020. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/5168.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Vieira, Joana Bruno. “Modeling volatility: an assessment of the value at risk approach.” 2012. Web. 03 Dec 2020.

Vancouver:

Vieira JB. Modeling volatility: an assessment of the value at risk approach. [Internet] [Thesis]. RCAAP; 2012. [cited 2020 Dec 03]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/5168.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Vieira JB. Modeling volatility: an assessment of the value at risk approach. [Thesis]. RCAAP; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/5168

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

5. Mazal, Tomáš. Technická analýza vybraných akcií: Technical Analysis of Selected Stocks.

Degree: 2018, Brno University of Technology

 This thesis deals with applying of technical analysis to selected stocks. The first part of the thesis is the theoretical basis of technical analysis and… (more)

Subjects/Keywords: technická analýza; akcia; trh; trend; backtesting; technical analysis; stock; market; trend; backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Mazal, T. (2018). Technická analýza vybraných akcií: Technical Analysis of Selected Stocks. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/33452

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mazal, Tomáš. “Technická analýza vybraných akcií: Technical Analysis of Selected Stocks.” 2018. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/33452.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mazal, Tomáš. “Technická analýza vybraných akcií: Technical Analysis of Selected Stocks.” 2018. Web. 03 Dec 2020.

Vancouver:

Mazal T. Technická analýza vybraných akcií: Technical Analysis of Selected Stocks. [Internet] [Thesis]. Brno University of Technology; 2018. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/33452.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mazal T. Technická analýza vybraných akcií: Technical Analysis of Selected Stocks. [Thesis]. Brno University of Technology; 2018. Available from: http://hdl.handle.net/11012/33452

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Lundström, Love. Backtesting of simulated method for Counterparty Credit Risk.

Degree: Mathematics and Mathematical Statistics, 2020, Umeå University

  After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole… (more)

Subjects/Keywords: Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative; Mathematics; Matematik

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Lundström, L. (2020). Backtesting of simulated method for Counterparty Credit Risk. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Lundström, Love. “Backtesting of simulated method for Counterparty Credit Risk.” 2020. Thesis, Umeå University. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Lundström, Love. “Backtesting of simulated method for Counterparty Credit Risk.” 2020. Web. 03 Dec 2020.

Vancouver:

Lundström L. Backtesting of simulated method for Counterparty Credit Risk. [Internet] [Thesis]. Umeå University; 2020. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lundström L. Backtesting of simulated method for Counterparty Credit Risk. [Thesis]. Umeå University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

7. Foltýn, Adam. Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market.

Degree: 2019, Brno University of Technology

 This bachelor thesis focuses on the proposal, algorithms, implemetation and optimization of automatic trading system (EA – expert advisor) for the Forex exchange market. System… (more)

Subjects/Keywords: Forex; automatický obchodní systém; měnový pár; MetaTrader; MQL; backtesting; optimalizace; Forex; automatic trading system; currency pair; MetaTrader; MQL; backtesting; optimization

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Foltýn, A. (2019). Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/61398

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Foltýn, Adam. “Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market.” 2019. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/61398.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Foltýn, Adam. “Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market.” 2019. Web. 03 Dec 2020.

Vancouver:

Foltýn A. Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/61398.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Foltýn A. Algoritmizace a implementace automatického obchodního systému v prostředí devizových trhů: Algorithm Development and Implementation of an Automatic Trading System in a Foreign Exchange Market. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/61398

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

8. Maštalíř, Adam. Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor.

Degree: 2018, Brno University of Technology

 The aim of the diploma thesis Proposal of an automated trading system for a retail investor is to propose and create an automated trading system… (more)

Subjects/Keywords: Automatický obchodní systém; forex; měnový pár; backtesting; optimalizace; Automated trading system; forex; currency pair; backtesting; optimization

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Maštalíř, A. (2018). Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/40231

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Maštalíř, Adam. “Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor.” 2018. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/40231.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Maštalíř, Adam. “Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor.” 2018. Web. 03 Dec 2020.

Vancouver:

Maštalíř A. Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor. [Internet] [Thesis]. Brno University of Technology; 2018. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/40231.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Maštalíř A. Návrh automatického obchodního systému pro drobného investora: Proposal of an Automated Trading System for a Retail Investor. [Thesis]. Brno University of Technology; 2018. Available from: http://hdl.handle.net/11012/40231

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Minho

9. Rodrigues, Pedro Diogo Guimarães. Backtesting Value-at-Risk Models .

Degree: 2017, Universidade do Minho

 In the last decades, Value-at-Risk has become one of the most popular risk measurements techniques in the financial world. However, VaR models are only useful… (more)

Subjects/Keywords: Value-at-Risk; Risk management; Backtesting; Risco financeiro

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rodrigues, P. D. G. (2017). Backtesting Value-at-Risk Models . (Masters Thesis). Universidade do Minho. Retrieved from http://hdl.handle.net/1822/46454

Chicago Manual of Style (16th Edition):

Rodrigues, Pedro Diogo Guimarães. “Backtesting Value-at-Risk Models .” 2017. Masters Thesis, Universidade do Minho. Accessed December 03, 2020. http://hdl.handle.net/1822/46454.

MLA Handbook (7th Edition):

Rodrigues, Pedro Diogo Guimarães. “Backtesting Value-at-Risk Models .” 2017. Web. 03 Dec 2020.

Vancouver:

Rodrigues PDG. Backtesting Value-at-Risk Models . [Internet] [Masters thesis]. Universidade do Minho; 2017. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/1822/46454.

Council of Science Editors:

Rodrigues PDG. Backtesting Value-at-Risk Models . [Masters Thesis]. Universidade do Minho; 2017. Available from: http://hdl.handle.net/1822/46454


Jönköping University

10. Vallenå, Cristoffer. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30.

Degree: Finance and Statistics, 2014, Jönköping University

  The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk… (more)

Subjects/Keywords: Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Vallenå, C. (2014). Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30. (Thesis). Jönköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-24002

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Vallenå, Cristoffer. “Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30.” 2014. Thesis, Jönköping University. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-24002.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Vallenå, Cristoffer. “Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30.” 2014. Web. 03 Dec 2020.

Vancouver:

Vallenå C. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30. [Internet] [Thesis]. Jönköping University; 2014. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-24002.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Vallenå C. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30. [Thesis]. Jönköping University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-24002

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

11. Berggren, Erik. Which GARCH model is best for Value-at-Risk?.

Degree: Economics, 2015, Uppsala University

  The purpose of this thesis is to identify the best volatility model for Value-at-Risk(VaR) estimations. We estimate 1 % and 5 % VaR figures… (more)

Subjects/Keywords: Value-at-Risk; ARCH/GARCH forecasting; Backtesting; Kupiec test; Christoffersen test

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Berggren, E. (2015). Which GARCH model is best for Value-at-Risk?. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-244448

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Berggren, Erik. “Which GARCH model is best for Value-at-Risk?.” 2015. Thesis, Uppsala University. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-244448.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Berggren, Erik. “Which GARCH model is best for Value-at-Risk?.” 2015. Web. 03 Dec 2020.

Vancouver:

Berggren E. Which GARCH model is best for Value-at-Risk?. [Internet] [Thesis]. Uppsala University; 2015. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-244448.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Berggren E. Which GARCH model is best for Value-at-Risk?. [Thesis]. Uppsala University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-244448

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Georgia

12. Dang, Yibo. Copula modeling analysis on multi-dimensional portfolios with backtesting.

Degree: 2017, University of Georgia

 In recent years, risk management has become one of the most crucial areas in the financial industry. The main interest of financial researchers is how… (more)

Subjects/Keywords: Backtesting; Copula; Dependency Structures; Multi-dimensional portfolios; Value-at Risk

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Dang, Y. (2017). Copula modeling analysis on multi-dimensional portfolios with backtesting. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/36697

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Dang, Yibo. “Copula modeling analysis on multi-dimensional portfolios with backtesting.” 2017. Thesis, University of Georgia. Accessed December 03, 2020. http://hdl.handle.net/10724/36697.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Dang, Yibo. “Copula modeling analysis on multi-dimensional portfolios with backtesting.” 2017. Web. 03 Dec 2020.

Vancouver:

Dang Y. Copula modeling analysis on multi-dimensional portfolios with backtesting. [Internet] [Thesis]. University of Georgia; 2017. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/10724/36697.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dang Y. Copula modeling analysis on multi-dimensional portfolios with backtesting. [Thesis]. University of Georgia; 2017. Available from: http://hdl.handle.net/10724/36697

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Georgia

13. Bai, Yang. A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula.

Degree: 2015, University of Georgia

 Risk management has become one of crucial parts of the daily operation in the financial industry. After the risk has been successfully quantified, the study… (more)

Subjects/Keywords: Backtesting; Copula; GARCH; Multi-dimensional VaR; Portfolio Risk Management; Quantitative Finance

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Bai, Y. (2015). A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/32423

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bai, Yang. “A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula.” 2015. Thesis, University of Georgia. Accessed December 03, 2020. http://hdl.handle.net/10724/32423.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bai, Yang. “A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula.” 2015. Web. 03 Dec 2020.

Vancouver:

Bai Y. A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula. [Internet] [Thesis]. University of Georgia; 2015. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/10724/32423.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bai Y. A rolling analysis on the prediction of Value at Risk with multivariate GARCH and copula. [Thesis]. University of Georgia; 2015. Available from: http://hdl.handle.net/10724/32423

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


KTH

14. Sultani, Rawand. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing.

Degree: Mathematical Statistics, 2020, KTH

Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a… (more)

Subjects/Keywords: Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro; Mathematics; Matematik

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Sultani, R. (2020). Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273420

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sultani, Rawand. “Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing.” 2020. Thesis, KTH. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273420.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sultani, Rawand. “Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing.” 2020. Web. 03 Dec 2020.

Vancouver:

Sultani R. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing. [Internet] [Thesis]. KTH; 2020. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273420.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sultani R. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing. [Thesis]. KTH; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273420

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

15. Němec, Ondřej. Technická analýza: Technical Analysis.

Degree: 2019, Brno University of Technology

 The subject of my thesis is technical analysis - creation of an investment strategies. The theoretical part describes the theoretical background relating to technical analysis… (more)

Subjects/Keywords: Forex; Technická analýza; Investiční strategie; MQL4; Technické indikátory; Backtesting; Genetické algoritmy; Forex; Technical analysis; Investment strategy; MQL4; Technical indicators; Backtesting; Genetic algorithms

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Němec, O. (2019). Technická analýza: Technical Analysis. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/31850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Němec, Ondřej. “Technická analýza: Technical Analysis.” 2019. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/31850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Němec, Ondřej. “Technická analýza: Technical Analysis.” 2019. Web. 03 Dec 2020.

Vancouver:

Němec O. Technická analýza: Technical Analysis. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/31850.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Němec O. Technická analýza: Technical Analysis. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/31850

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

16. Kanoš, Petr. Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets.

Degree: 2019, Brno University of Technology

 This master thesis deals with design of automated trading system for currency trading. The thesis includes testing of this system on historical data and its… (more)

Subjects/Keywords: Automatický obchodní systém; měnový trh; forex; optimalizace; MetaTrader; MQL4; backtesting; money management; risk management; Automated trading system; currency market; forex; optimization; MetaTrader; MQL4; backtesting; money management; risk management

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kanoš, P. (2019). Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/59488

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kanoš, Petr. “Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets.” 2019. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/59488.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kanoš, Petr. “Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets.” 2019. Web. 03 Dec 2020.

Vancouver:

Kanoš P. Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/59488.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kanoš P. Návrh a optimalizace automatického obchodního systému na měnových trzích: Design and Optimization of Automated Trading System on the Currency Markets. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/59488

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brno University of Technology

17. Halász, Martin. Technická analýza: Technical Analysis.

Degree: 2019, Brno University of Technology

 This master’s thesis deals with the problems of a technical analysis and its use. The first part of thesis describes theoretical background of the technical… (more)

Subjects/Keywords: desktop aplikácia; backtesting; Forex; obchodné platformy; obchodné signály; technická analýza; technické indikátory; desktop application; backtesting; Forex; trading platforms; trading signals; technical analysis; technical indicators

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Halász, M. (2019). Technická analýza: Technical Analysis. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/39213

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Halász, Martin. “Technická analýza: Technical Analysis.” 2019. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/39213.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Halász, Martin. “Technická analýza: Technical Analysis.” 2019. Web. 03 Dec 2020.

Vancouver:

Halász M. Technická analýza: Technical Analysis. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/39213.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Halász M. Technická analýza: Technical Analysis. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/39213

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

18. Chen, Che-Hong. Exchange Rate Forecasting based on Economic and Financial Information.

Degree: Master, Finance, 2017, NSYSU

 Exchange rate forecasting are very popular issues against stock return forecasting. There are some famous theories about the movement of exchange rate, such as PPP(Purchasing… (more)

Subjects/Keywords: backtesting; step-wise regression; exchange rate forecasting; macroeconomic and financial variables; momentum rules

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chen, C. (2017). Exchange Rate Forecasting based on Economic and Financial Information. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0626117-135050

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chen, Che-Hong. “Exchange Rate Forecasting based on Economic and Financial Information.” 2017. Thesis, NSYSU. Accessed December 03, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0626117-135050.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chen, Che-Hong. “Exchange Rate Forecasting based on Economic and Financial Information.” 2017. Web. 03 Dec 2020.

Vancouver:

Chen C. Exchange Rate Forecasting based on Economic and Financial Information. [Internet] [Thesis]. NSYSU; 2017. [cited 2020 Dec 03]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0626117-135050.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen C. Exchange Rate Forecasting based on Economic and Financial Information. [Thesis]. NSYSU; 2017. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0626117-135050

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

19. Silva, Pedro Franco. Optimization of technical trading rules in forex market using genetic algorithm.

Degree: 2012, RCAAP

Projeto / JEL Classification: G02; G14

A análise técnica, juntamente com a análise fundamental, é uma das metodologias mais conhecidas que os traders utilizam nos… (more)

Subjects/Keywords: Technical analysis; Genetic algorithm; Efficient market hypothesis; Backtesting; Análise técnica; Algoritmo; Finanças

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Silva, P. F. (2012). Optimization of technical trading rules in forex market using genetic algorithm. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6396

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Silva, Pedro Franco. “Optimization of technical trading rules in forex market using genetic algorithm.” 2012. Thesis, RCAAP. Accessed December 03, 2020. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6396.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Silva, Pedro Franco. “Optimization of technical trading rules in forex market using genetic algorithm.” 2012. Web. 03 Dec 2020.

Vancouver:

Silva PF. Optimization of technical trading rules in forex market using genetic algorithm. [Internet] [Thesis]. RCAAP; 2012. [cited 2020 Dec 03]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6396.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Silva PF. Optimization of technical trading rules in forex market using genetic algorithm. [Thesis]. RCAAP; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6396

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

20. Nybrant, Arvid. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.

Degree: Statistics, 2018, Uppsala University

  Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to… (more)

Subjects/Keywords: VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Nybrant, A. (2018). Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Thesis, Uppsala University. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Nybrant, Arvid. “Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk.” 2018. Web. 03 Dec 2020.

Vancouver:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Internet] [Thesis]. Uppsala University; 2018. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nybrant A. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-352381

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Toronto

21. Sorkhi, Shabnam. A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings.

Degree: PhD, 2015, University of Toronto

 Initial public offerings (IPOs) are perhaps the most exhilarating events on stock exchanges. Yet, the ‘ambiguity’ of the risk of IPOs overshadows the thrill and… (more)

Subjects/Keywords: Backtesting; Bayesian; Initial Public Offerings (IPO); Short-Term Risk; Value at Risk (VaR); 0508

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Sorkhi, S. (2015). A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings. (Doctoral Dissertation). University of Toronto. Retrieved from http://hdl.handle.net/1807/71346

Chicago Manual of Style (16th Edition):

Sorkhi, Shabnam. “A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings.” 2015. Doctoral Dissertation, University of Toronto. Accessed December 03, 2020. http://hdl.handle.net/1807/71346.

MLA Handbook (7th Edition):

Sorkhi, Shabnam. “A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings.” 2015. Web. 03 Dec 2020.

Vancouver:

Sorkhi S. A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings. [Internet] [Doctoral dissertation]. University of Toronto; 2015. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/1807/71346.

Council of Science Editors:

Sorkhi S. A Hybrid Bayesian and Data-envelopment-analysis-based Approach to Measure the Short-term Risk of Initial Public Offerings. [Doctoral Dissertation]. University of Toronto; 2015. Available from: http://hdl.handle.net/1807/71346


Delft University of Technology

22. Rood, N.M. (author). Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion.

Degree: 2020, Delft University of Technology

In this study, two interest rate models are analysed in context of counterparty credit risk. The goal of the study is to find a model… (more)

Subjects/Keywords: Counterparty Credit Risk; Model validation; Dynamic Nelson-Siegel; Displaced Diffusion; Historical Backtesting; Interest Rate models

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rood, N. M. (. (2020). Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:6e27d557-876d-4742-b78d-8324c74d7a83

Chicago Manual of Style (16th Edition):

Rood, N M (author). “Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion.” 2020. Masters Thesis, Delft University of Technology. Accessed December 03, 2020. http://resolver.tudelft.nl/uuid:6e27d557-876d-4742-b78d-8324c74d7a83.

MLA Handbook (7th Edition):

Rood, N M (author). “Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion.” 2020. Web. 03 Dec 2020.

Vancouver:

Rood NM(. Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion. [Internet] [Masters thesis]. Delft University of Technology; 2020. [cited 2020 Dec 03]. Available from: http://resolver.tudelft.nl/uuid:6e27d557-876d-4742-b78d-8324c74d7a83.

Council of Science Editors:

Rood NM(. Interest rate models for estimating counterparty credit risk: Dynamic Nelson-Siegel and Displaced Diffusion. [Masters Thesis]. Delft University of Technology; 2020. Available from: http://resolver.tudelft.nl/uuid:6e27d557-876d-4742-b78d-8324c74d7a83


Technical University of Lisbon

23. Ruivo, Sandra Cristina Rosa. Volatility forecasts and value-at-risk estimation using TGARCH model.

Degree: 2007, Technical University of Lisbon

Mestrado em Finanças

Value-at-Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk, mainly the market risk, of… (more)

Subjects/Keywords: Market Risk; Value-at-Risk; Volatility; Forecasting; TGARCH; Backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ruivo, S. C. R. (2007). Volatility forecasts and value-at-risk estimation using TGARCH model. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ruivo, Sandra Cristina Rosa. “Volatility forecasts and value-at-risk estimation using TGARCH model.” 2007. Thesis, Technical University of Lisbon. Accessed December 03, 2020. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ruivo, Sandra Cristina Rosa. “Volatility forecasts and value-at-risk estimation using TGARCH model.” 2007. Web. 03 Dec 2020.

Vancouver:

Ruivo SCR. Volatility forecasts and value-at-risk estimation using TGARCH model. [Internet] [Thesis]. Technical University of Lisbon; 2007. [cited 2020 Dec 03]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ruivo SCR. Volatility forecasts and value-at-risk estimation using TGARCH model. [Thesis]. Technical University of Lisbon; 2007. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/675

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

24. Araújo, André da Silva de. Risco e Causalidade nos Principais Mercados de Acções Europeus.

Degree: 2011, Technical University of Lisbon

Mestrado em Finanças

Com os acontecimentos que desencadearam a crise financeira mundial de 2008, os mercados financeiros globais foram palco do maior contágio de risco… (more)

Subjects/Keywords: Value-at-Risk (VaR; Backtesting; Granger causality in risk; Extreme risk spillover; Estimação ARCH; Contágio de risco financeiro; Previsão de volatilidade

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Araújo, A. d. S. d. (2011). Risco e Causalidade nos Principais Mercados de Acções Europeus. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3485

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Araújo, André da Silva de. “Risco e Causalidade nos Principais Mercados de Acções Europeus.” 2011. Thesis, Technical University of Lisbon. Accessed December 03, 2020. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3485.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Araújo, André da Silva de. “Risco e Causalidade nos Principais Mercados de Acções Europeus.” 2011. Web. 03 Dec 2020.

Vancouver:

Araújo AdSd. Risco e Causalidade nos Principais Mercados de Acções Europeus. [Internet] [Thesis]. Technical University of Lisbon; 2011. [cited 2020 Dec 03]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3485.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Araújo AdSd. Risco e Causalidade nos Principais Mercados de Acções Europeus. [Thesis]. Technical University of Lisbon; 2011. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3485

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

25. Jäschke, Stefan. On modeling financial risk with tail copulas.

Degree: 2015, Technische Universität Dortmund

 This thesis is a cumulative one, comprising three peer-reviewed and published papers. The first article studies, for the first time in the literature, the dependence… (more)

Subjects/Keywords: Crude oil; Tail dependence; Goodness-of-fit-tests; Backtesting; Risk measures; Break-point detection; Multiplier bootstrap; 310

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jäschke, S. (2015). On modeling financial risk with tail copulas. (Doctoral Dissertation). Technische Universität Dortmund. Retrieved from http://dx.doi.org/10.17877/DE290R-7444

Chicago Manual of Style (16th Edition):

Jäschke, Stefan. “On modeling financial risk with tail copulas.” 2015. Doctoral Dissertation, Technische Universität Dortmund. Accessed December 03, 2020. http://dx.doi.org/10.17877/DE290R-7444.

MLA Handbook (7th Edition):

Jäschke, Stefan. “On modeling financial risk with tail copulas.” 2015. Web. 03 Dec 2020.

Vancouver:

Jäschke S. On modeling financial risk with tail copulas. [Internet] [Doctoral dissertation]. Technische Universität Dortmund; 2015. [cited 2020 Dec 03]. Available from: http://dx.doi.org/10.17877/DE290R-7444.

Council of Science Editors:

Jäschke S. On modeling financial risk with tail copulas. [Doctoral Dissertation]. Technische Universität Dortmund; 2015. Available from: http://dx.doi.org/10.17877/DE290R-7444


Brno University of Technology

26. Šišlák, Petr. Algoritmizace pro podporu rozhodování: Algorithmization for decision support.

Degree: 2020, Brno University of Technology

 The bachelor thesis is focused on the development of price indicators, which are used for effective trading on the stock exchange. Part of the work… (more)

Subjects/Keywords: obchodování; programování; burza; kryptoměny; cenový graf; backtestování; optimalizace; trading; programing; stock exchange; cryptocurrencies; price chart; backtesting; optimalization

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Šišlák, P. (2020). Algoritmizace pro podporu rozhodování: Algorithmization for decision support. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/193541

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Šišlák, Petr. “Algoritmizace pro podporu rozhodování: Algorithmization for decision support.” 2020. Thesis, Brno University of Technology. Accessed December 03, 2020. http://hdl.handle.net/11012/193541.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Šišlák, Petr. “Algoritmizace pro podporu rozhodování: Algorithmization for decision support.” 2020. Web. 03 Dec 2020.

Vancouver:

Šišlák P. Algoritmizace pro podporu rozhodování: Algorithmization for decision support. [Internet] [Thesis]. Brno University of Technology; 2020. [cited 2020 Dec 03]. Available from: http://hdl.handle.net/11012/193541.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Šišlák P. Algoritmizace pro podporu rozhodování: Algorithmization for decision support. [Thesis]. Brno University of Technology; 2020. Available from: http://hdl.handle.net/11012/193541

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade de Lisboa

27. Ferreira, Ana Filipa de Carvalho. Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio.

Degree: 2015, Universidade de Lisboa

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2015

Este estudo tem como principal objetivo comparar métodos… (more)

Subjects/Keywords: Taxa de câmbio EUR/USD; VaR; GARCH; EGARCH; RiskMetrics; Volatilidade; Backtesting; Teses de mestrado - 2015; Domínio/Área Científica::Ciências Naturais::Matemáticas

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ferreira, A. F. d. C. (2015). Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio. (Thesis). Universidade de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/20565

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ferreira, Ana Filipa de Carvalho. “Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio.” 2015. Thesis, Universidade de Lisboa. Accessed December 03, 2020. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/20565.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ferreira, Ana Filipa de Carvalho. “Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio.” 2015. Web. 03 Dec 2020.

Vancouver:

Ferreira AFdC. Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio. [Internet] [Thesis]. Universidade de Lisboa; 2015. [cited 2020 Dec 03]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/20565.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ferreira AFdC. Comparação de métodos de value-at-risk para medição do risco em rendibilidades de taxas de câmbio. [Thesis]. Universidade de Lisboa; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/20565

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Technical University of Lisbon

28. Bravo, Joana Margarida Gomes. Backtesting a parâmetros de risco de crédito.

Degree: 2017, Technical University of Lisbon

Mestrado em Mathematical Finance

A realização do exercício do Backtesting aos parâmetros de risco utilizados no modelo de cálculo das perdas por imparidade, constitui um… (more)

Subjects/Keywords: modelo de cálculo das perdas por imparidade; parâmetros de risco; Backtesting; testes de hipóteses; impairment model; risk parameters; hypothesis tests

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Bravo, J. M. G. (2017). Backtesting a parâmetros de risco de crédito. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bravo, Joana Margarida Gomes. “Backtesting a parâmetros de risco de crédito.” 2017. Thesis, Technical University of Lisbon. Accessed December 03, 2020. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bravo, Joana Margarida Gomes. “Backtesting a parâmetros de risco de crédito.” 2017. Web. 03 Dec 2020.

Vancouver:

Bravo JMG. Backtesting a parâmetros de risco de crédito. [Internet] [Thesis]. Technical University of Lisbon; 2017. [cited 2020 Dec 03]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14880.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bravo JMG. Backtesting a parâmetros de risco de crédito. [Thesis]. Technical University of Lisbon; 2017. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/14880

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Univerzitet u Beogradu

29. Totić, Selena. 1979-. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.

Degree: Fakultet organizacionih nauka, 2016, Univerzitet u Beogradu

Društvene nauke / Finansijsko predviđanje i simulacija, finansijska ekonometrija Social sciences / financial forecasting and simulation, financial econometrics

Upravljanje tržišnim rizicima u finansijskim institucijama se… (more)

Subjects/Keywords: expected shortfall; Value-at-Risk; backtesting; volatility; fat tails; GARCH; extreme value theory; capital requirements; simulation

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Totić, S. 1. (2016). Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. (Thesis). Univerzitet u Beogradu. Retrieved from https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Totić, Selena 1979-. “Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.” 2016. Thesis, Univerzitet u Beogradu. Accessed December 03, 2020. https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Totić, Selena 1979-. “Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku.” 2016. Web. 03 Dec 2020.

Vancouver:

Totić S1. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. [Internet] [Thesis]. Univerzitet u Beogradu; 2016. [cited 2020 Dec 03]. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Totić S1. Interni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitku. [Thesis]. Univerzitet u Beogradu; 2016. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


KTH

30. Bergvall, Anders. The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio.

Degree: Industrial Economics and Management (Dept.), 2013, KTH

In post-financial crisis times, new legislation in combination with banks’ changed risk aversion has to a great extent changed the proprietary trading to client… (more)

Subjects/Keywords: DiVA; published; student thesis; Client driven trading; Risk-Return tradeoff; Delta-gamma Value-at-Risk; IMA; Backtesting

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Bergvall, A. (2013). The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123389

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bergvall, Anders. “The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio.” 2013. Thesis, KTH. Accessed December 03, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123389.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bergvall, Anders. “The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio.” 2013. Web. 03 Dec 2020.

Vancouver:

Bergvall A. The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio. [Internet] [Thesis]. KTH; 2013. [cited 2020 Dec 03]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123389.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bergvall A. The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio. [Thesis]. KTH; 2013. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123389

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

[1] [2]

.