Backtesting Value at Risk Accuracy: A New Simple Test
Christophe Hurlin and
Sessi Tokpavi (sessi.tokpavi@univ-orleans.fr)
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Sessi Tokpavi: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique
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Keywords: Backtesting; Value at Risk; Accuracy; New; Simple; Test (search for similar items in EconPapers)
Date: 2006-11-23
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Citations: View citations in EconPapers (6)
Published in 5èmes Journées d'économétrie "Développements récents d' l'économétrie appliquée à la finance", Nov 2006, Paris, France
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Related works:
Working Paper: Backtesting Value-at-Risk Accuracy: A New Simple Test (2007)
Working Paper: Backtesting Value-at-Risk Accuracy: A New Simple Test (2007)
Working Paper: Backtesting Value at Risk Accuracy: A New Simple Test (2006)
Working Paper: Backtesting Value at Risk Accuracy: A New Simple Test (2006)
Working Paper: Backtesting Value at Risk Accuracy: A New Simple Test (2006)
Working Paper: Backtesting Value at Risk Accuracy: A New Simple Test (2006)
Working Paper: Backtesting Value at Risk Accuracy: A New Simple Test (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00257515
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