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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

Elena Ivona Dumitrescu 1 Christophe Hurlin Vinson Pham
1 EconomiX
Abstract : Forthcoming
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Journal articles
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https://hal-univ-paris10.archives-ouvertes.fr/hal-01385901
Contributor : Administrateur Hal Nanterre <>
Submitted on : Saturday, October 22, 2016 - 3:12:06 PM
Last modification on : Monday, January 6, 2020 - 5:50:13 PM

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  • HAL Id : hal-01385901, version 1

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CNRS | UNIV-PARIS10 | ECONOMIX | UNIV-PARIS-LUMIERES

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Elena Ivona Dumitrescu, Christophe Hurlin, Vinson Pham. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests. Finance, Presses universitaires de Grenoble, 2012, 33, pp.79 - 112. ⟨hal-01385901⟩

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