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Search: subject:"Backtesting Value-at-Risk"
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Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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Overcoming issues with time-scaling value-at-risk
Maga, Anastasia
;
Dryver, Arthur Lance
- In:
The journal of risk model validation
19
(
2025
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10015459752
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Backtesting
Value-at-Risk
: A GMM Duration-Based Test
COLLETAZ, Gilbert
;
HURLIN, Christophe
;
TOKPAVI, Sessi
-
Laboratoire d'Économie d'Orléans (LEO), Faculté de …
-
2008
Persistent link: https://www.econbiz.de/10010934136
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