Backtesting Value-at-Risk: A Generalized Markov Framework

Series	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Number	18
Volume	2015
ISSN	1601-2461

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@techreport{3b4bb567cf184a469c9127e3c10e00f5,

title = "Backtesting Value-at-Risk: A Generalized Markov Framework",

author = "Nielsen, {Thor Pajhede}",

note = "JEL Classification: C12, C15, C52, C32.",

year = "2015",

language = "English",

series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",

number = "18",

type = "WorkingPaper",

}