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kupiec-test

Here are 2 public repositories matching this topic...

rafa-rod / vartests

Statistical tests for Value at Risk (VaR) Models.

finance statistical-tests backtest value-at-risk backtesting kupiec-test duration-test christoffersen-pelletier christoffersen berkowitz

Updated Aug 29, 2023
Python

Einvon / VaRTest_Kupiec_and_Engle

Tests for VaR estimation of financial instruments, including Kupiec Test(LR-Stats) and Engle Test(QD-Stats).

var kupiec-test engle-test

Updated Mar 23, 2024
Python

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