Robust Backtesting Tests for Value-at-Risk models

Researcher:

Olmo Badenas, José

Congress:

Far Eastern and South Asian Meetings of the Econometric Society

Participation type:

Comunicación oral

Other authors:

Juan Carlos Escanciano y Jose Olmo

Year:

2009

Location:

Tokio

Publication:

Juan Carlos Escanciano y Jose Olmo. Robust Backtesting Tests for Value-at-Risk models . En: Far Eastern and South Asian Meetings of the Econometric Society. Tokio: , 2009