Backtesting Value-at-Risk: A GMM Duration-Based Test
Year of publication: |
2008
|
---|---|
Authors: | COLLETAZ, Gilbert ; HURLIN, Christophe ; TOKPAVI, Sessi |
Institutions: | Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion |
Subject: | Backtesting Value-at-Risk | GMM | Duration-Based Test |
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