ExactVaRTest-package: ExactVaRTest – Exact Finite-Sample VaR Back-Testing
In ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing
ExactVaRTest-package R Documentation
ExactVaRTest – Exact Finite-Sample VaR Back-Testing
Description
Provides fast dynamic‑programming algorithms (C++/Rcpp) – with pure‑R
fall‑backs – for the exact finite‑sample distributions and p‑values of
Christoffersen’s (1998) VaR back‑tests: Independence (IND) and Conditional
Coverage (CC) tests, and the Unconditional Coverage (UC) test via closed‑form
binomial enumeration.
Author(s)
Maintainer: Yujian Chen yjc4996@gmail.com
See Also
Useful links:
ExactVaRTest documentation built on Aug. 23, 2025, 1:11 a.m.
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| ExactVaRTest-package | R Documentation |
ExactVaRTest – Exact Finite-Sample VaR Back-Testing
Description
Provides fast dynamic‑programming algorithms (C++/Rcpp) – with pure‑R fall‑backs – for the exact finite‑sample distributions and p‑values of Christoffersen’s (1998) VaR back‑tests: Independence (IND) and Conditional Coverage (CC) tests, and the Unconditional Coverage (UC) test via closed‑form binomial enumeration.
Author(s)
Maintainer: Yujian Chen yjc4996@gmail.com
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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