Testing and comparing value-at-risk measures

Journal of Empirical Finance

Volumn 8, Issue 3, 2001, Pages 325-342

  Christoffersen, Peter ^a   Hahn, Jinyong ^b   Inoue, Atsushi ^c  

^a MCGILL UNIVERSITY   (Canada)

^b BROWN UNIVERSITY   (United States)

^c NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

C22; C53; G10; Model risk; Risk management; Value at Risk

Indexed keywords

EID: 0001554810     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00025-1     Document Type: Article

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