Backtesting Value at Risk Accuracy: A New Simple Test

Christophe Hurlin and Sessi Tokpavi ()
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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: 2006-10-19
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Citations: View citations in EconPapers (5)

Published in Colloque de l'Association d'Econométrie Appliquée "Taux de change et économétrie du risque", Oct 2006, Athènes, Greece

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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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