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Backtesting value-at-risk: a GMM duration-based test

Bertrand Candelon (), G. Colletaz, Christophe Hurlin () and S. Tokpavi

No 62, Research Memorandum from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)

Date: 2009-01-01
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https://cris.maastrichtuniversity.nl/ws/files/48102633/RM09062.pdf (application/pdf)

Related works:
Journal Article: Backtesting Value-at-Risk: A GMM Duration-Based Test (2011) Downloads
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2009) Downloads
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) Downloads
Working Paper: Backtesting Value-at-Risk: A GMM Duration-Based Test (2008) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umamet:2009062

DOI: 10.26481/umamet.2009062

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