Pinned Repositories
multilevelVaRTest
R implementation of multilevel VaR tests. Based on "Evaluating the accuracy of value-at- risk forecasts: New multilevel tests" by Leccadito, Bofelli & Urga (2014).
yunuslutz's Repositories
yunuslutz/multilevelVaRTest
R implementation of multilevel VaR tests. Based on "Evaluating the accuracy of value-at- risk forecasts: New multilevel tests" by Leccadito, Bofelli & Urga (2014).