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Search: subject:"duration-based test"
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GMM
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Duration-Based Test
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Value-at-Risk
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Backtesting
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Backtesting Value-at-Risk
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backtesting
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duration-based test
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COLLETAZ, Gilbert
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HURLIN, Christophe
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Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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Backtesting Value-at-Risk: A GMM
Duration-Based
Test
COLLETAZ, Gilbert
;
HURLIN, Christophe
;
TOKPAVI, Sessi
-
Laboratoire d'Économie d'Orléans (LEO), Faculté de …
-
2009
Persistent link: https://www.econbiz.de/10010934157
Saved in:
2
Backtesting Value-at-Risk: A GMM
Duration-Based
Test
COLLETAZ, Gilbert
;
HURLIN, Christophe
;
TOKPAVI, Sessi
-
Laboratoire d'Économie d'Orléans (LEO), Faculté de …
-
2008
Persistent link: https://www.econbiz.de/10010934136
Saved in:
3
Backtesting Value-at-Risk: A GMM
Duration-Based
Test
Hurlin, Christophe
;
Colletaz, Gilbert
;
Tokpavi, Sessi
; …
-
HAL
-
2008
-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional
duration
based
test
. An empirical …
Persistent link: https://www.econbiz.de/10008794030
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