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

Gilbert Colletaz (), Christophe Hurlin and Sessi Tokpavi ()
Additional contact information
Gilbert Colletaz: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique
Sessi Tokpavi: LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Keywords: Backtesting; Value-at-Risk; GMM; Duration-based Test (search for similar items in EconPapers)
Date: 2008-11-23
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published in 5èmes Journées d'économétrie "Développements Récents de l'Econométrie Appliquée à la Finance", Nov 2008, Paris X - Nanterre, France

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Backtesting Value-at-Risk: A GMM Duration-Based Test (2011)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2009)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-based Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-based Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based-Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2008)
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00363168

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().