A New Set of Improved Value-at-Risk Backtests

By Berens Tobias, Ziggel Daniel, and Wied Dominik
Working Paper (2013)

  • Gregor Weiß

    TU Dortmund University

    Germany

  • Tobias Berens

  • Daniel Ziggel

  • Dominik Wied

Created

February 8, 2014

Last update

February 13, 2014

Software

R

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59

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1817

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246

Description

Function 1 calculates the p-value of the iid test. Function 2 calculates the p-value of the unconditional coverage test.

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