Backtesting Value-at-Risk: A GMM Duration-Based Test - Archive ouverte HAL Access content directly
Other Publications Year : 2008

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

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halshs-00364797 , version 1 (27-02-2009)

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  • HAL Id : halshs-00364797 , version 1

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Gilbert Colletaz, Christophe Hurlin, Sessi Tokpavi. Backtesting Value-at-Risk: A GMM Duration-Based Test. 2008. ⟨halshs-00364797⟩
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