Backtesting VaR Accuracy: A Simple and Powerful Test
Year of publication: |
2006
|
---|---|
Authors: | HURLIN, Christophe ; TOKPAVI, Sessi |
Institutions: | Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion |
Subject: | Backtesting | VaR | Accuracy | Simple | Powerful | Test |
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