Statistical tests for Value at Risk (VaR) Models.
finance statistical-tests backtest value-at-risk backtesting kupiec-test duration-test christoffersen-pelletier christoffersen berkowitz
- Updated
Nov 16, 2025 - Python
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kupiec-test
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Tests for VaR estimation of financial instruments, including Kupiec Test(LR-Stats) and Engle Test(QD-Stats).
- Updated
Mar 23, 2024 - Python
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