Backtesting Value at Risk Accuracy : A New Simple Test

Christophe Hurlin; Sessi Tokpavi

Conference Papers Year : 2006

Backtesting Value at Risk Accuracy : A New Simple Test

(1) , (1)

1

Christophe Hurlin

Function : Author
PersonId : 819007
IdHAL : christophe-hurlin
ORCID : 0000-0002-6082-8251
IdRef : 079115969

Laboratoire d'économie d'Orleans [2008-2011]

Sessi Tokpavi

Function : Correspondent author
PersonId : 833293
ORCID : 0000-0001-7852-4232
IdRef : 136005462

Connectez-vous pour contacter l'auteur

Laboratoire d'économie d'Orleans [2008-2011]

Keywords

Accuracy New Simple Test Backtesting Value at Risk

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Economics and Finance

Colette Gedoux : Connect in order to contact the contributor

https://shs.hal.science/halshs-00257512

Submitted on : Tuesday, February 19, 2008-3:35:39 PM

Last modification on : Monday, May 15, 2023-2:18:04 PM

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halshs-00257512 , version 1 (19-02-2008)

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HAL Id : halshs-00257512 , version 1

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Christophe Hurlin, Sessi Tokpavi. Backtesting Value at Risk Accuracy : A New Simple Test. 55ème Congrès de l'AFSE, Sep 2006, Paris, France. ⟨halshs-00257512⟩

Backtesting Value at Risk Accuracy : A New Simple Test

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