Pinned Repositories
BacktestToolbox
A toolbox of Matlab files used to conduct backtesting of Value-at-Risk. The toolbox includes most existing backtests, options for boostrapping as well as a manual and codes for examining power and size of different tests.
MonteCarlo
Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen
thorpn's Repositories
thorpn/MonteCarlo
Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen
thorpn/BacktestToolbox
A toolbox of Matlab files used to conduct backtesting of Value-at-Risk. The toolbox includes most existing backtests, options for boostrapping as well as a manual and codes for examining power and size of different tests.