Backtesting Value-at-Risk: A GMM Duration-Based Test
| Year of publication: |
2009
|
|---|---|
| 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 |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | Number 265 |
| Source: |
Persistent link: https://www.econbiz.de/10010934157