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ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing
Provides fast dynamic-programming algorithms in 'C++'/'Rcpp' (with pure 'R' fallbacks) for the exact finite-sample distributions and p-values of Christoffersen (1998) independence (IND) and conditional-coverage (CC) VaR backtests. For completeness, it also provides the exact unconditional-coverage (UC) test following Kupiec (1995) via a closed-form binomial enumeration. See Christoffersen (1998) <doi:10.2307/2527341> and Kupiec (1995) <doi:10.3905/jod.1995.407942>.
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Package details |
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| Author | Yujian Chen [aut, cre] |
| Maintainer | Yujian Chen <yjc4996@gmail.com> |
| License | GPL (>= 3) |
| Version | 0.1.3 |
| URL | https://github.com/YujianCHEN219/ExactVaRTest |
| Package repository | View on CRAN |
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