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Conference Papers Year : 2008

Backtesting Value-at-Risk : A GMM Duration-based Test

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halshs-00363146 , version 1 (20-02-2009)

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  • HAL Id : halshs-00363146 , version 1

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Gilbert Colletaz, Christophe Hurlin, Sessi Tokpavi. Backtesting Value-at-Risk : A GMM Duration-based Test. 5èmes Journées d'économétrie "Développements Récents de l'Econométrie Appliquée à la Finance", Nov 2008, Paris X - Nanterre, France. ⟨halshs-00363146⟩
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