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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Implementation of a variety of Value-at-Risk backtests
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BayerSe/VaR-Backtesting
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Implementation of a variety of Value-at-Risk backtests
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