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Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities
COLLETAZ, Gilbert; HURLIN, Christophe; TOKPAVI, Sessi - Laboratoire d'Économie d'Orléans (LEO), Faculté de … - 2007
Persistent link: https://www.econbiz.de/10010934097
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Backtesting VaR Accuracy: A Simple and Powerful Test
HURLIN, Christophe; TOKPAVI, Sessi - Laboratoire d'Économie d'Orléans (LEO), Faculté de … - 2006
Persistent link: https://www.econbiz.de/10010934108
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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 … - 2008
Persistent link: https://www.econbiz.de/10010934136
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Une évaluation des procédures de Backtesting
HURLIN, Christophe; TOKPAVI, Sessi - Laboratoire d'Économie d'Orléans (LEO), Faculté de … - 2007
Persistent link: https://www.econbiz.de/10010934156
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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