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Published 20 hours ago • verified publisher icon BayerSe
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Implementation of a variety of Value-at-Risk backtests

Value-at-Risk Backtesting

This code implements a range of VaR backtest.

To date, the following tests are available:

  • Likelihood ratio framework of Christoffersen (1998)
  • Dynamic Quantile Test of Engle and Manganelli (2004)

More will be added.

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verified publisher icon BayerSe

Metadata

Implementation of a variety of Value-at-Risk backtests

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