Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests - Archive ouverte HAL
Journal Articles Finance Year : 2012

Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

Elena Ivona Dumitrescu
  • Function : Author
  • PersonId : 991192
EconomiX
Christophe Hurlin
Vinson Pham
  • Function : Author

Abstract

Forthcoming

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Economics and Finance

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https://hal.parisnanterre.fr/hal-01385901

Submitted on : Saturday, October 22, 2016-3:12:06 PM

Last modification on : Thursday, April 4, 2024-1:54:15 PM

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hal-01385901 , version 1 (22-10-2016)

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  • HAL Id : hal-01385901 , version 1

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Elena Ivona Dumitrescu, Christophe Hurlin, Vinson Pham. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests. Finance, 2012, 33, pp.79 - 112. ⟨hal-01385901⟩

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