Une Evaluation des Procédures de Backtesting
Year of publication: |
2007-07-04
|
---|---|
Authors: | Hurlin, Christophe ; Tokpavi, Sessi |
Institutions: | HAL |
Subject: | Value-at-Risk | Backtesting |
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The role of the loss function in value-at-risk comparisons
Abad, Pilar, (2015)
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Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi, (2015)
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Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam, (2015)
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Banulescu, Denisa Georgiana, (2013)
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Backtesting Value-at-Risk: A GMM Duration-Based Test
Hurlin, Christophe, (2008)
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Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities
Hurlin, Christophe, (2007)
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