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

Gilbert Colletaz (), Christophe Hurlin and Sessi Tokpavi ()

No 265, LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans

Keywords: Backtesting; Value-at-Risk; GMM; Duration-Based Test (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://data.leo-univ-orleans.fr/media/search-works/265/dr200921.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to data.leo-univ-orleans.fr:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

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)
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:leo:wpaper:265

Access Statistics for this paper

More papers in LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Contact information at EDIRC.
Bibliographic data for series maintained by Sébastien Galanti ().