Work

Backtesting Value-at-Risk: A Duration-Based Approach

Year: 2003

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.418762

Authors: Peter Christoffersen, Denis Pelletier

Institutions: Copenhagen Business School, University of Toronto, Aarhus University, North Carolina State University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2109388592

Cites: 28

Cited by: 119

Related to: 10