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The Geometric-VaR Backtesting Method

Denis Pelletier and Wei Wei.

in Journal of Financial Econometrics

September 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.

This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...

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