Backtesting value-at-risk : a GMM duration-based test

B. Candelon, G. Colletaz, C. Hurlin, S. Tokpavi

Research output: Working paperProfessional

628 Downloads (Pure)
Original languageEnglish
Place of PublicationMaastricht
PublisherMETEOR, Maastricht University School of Business and Economics
Number of pages37
DOIs
Publication statusPublished - 1 Jan 2009

Publication series

SeriesMETEOR Research Memorandum
Number062

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