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| | SSRN-Testing, Comparing, and Combining Value-at-Risk Measures by Peter Christoffersen, Jinyong Hahn, Atsushi Inoue (Site not responding. Last check: 2007-10-21) |
 | | SSRN-Testing, Comparing, and Combining Value-at-Risk Measures by Peter Christoffersen, Jinyong Hahn, Atsushi Inoue |
 | | In the application, competing VaR measures are calculated from either historical or option-price based volatility measures, and the VaRs are then tested and compared. |
 | | Christoffersen, Peter F., Hahn, Jinyong and Inoue, Atsushi, "Testing, Comparing, and Combining Value-at-Risk Measures" (October 1, 1999). |
| papers.ssrn.com /sol3/papers.cfm?abstract_id=192150 (317 words) |
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