Department of Economics and Business Economics

The Geometric-VaR Backtesting Method

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

The Geometric-VaR Backtesting Method. / Pelletier, Dennis; Wei, Wei.

In: Journal of Financial Econometrics, Vol. 14, No. 4, 2016, p. 725-745.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Pelletier, D & Wei, W 2016, 'The Geometric-VaR Backtesting Method', Journal of Financial Econometrics, vol. 14, no. 4, pp. 725-745. https://doi.org/10.1093/jjfinec/nbv015

APA

Pelletier, D., & Wei, W. (2016). The Geometric-VaR Backtesting Method. Journal of Financial Econometrics, 14(4), 725-745. https://doi.org/10.1093/jjfinec/nbv015

CBE

Pelletier D, Wei W. 2016. The Geometric-VaR Backtesting Method. Journal of Financial Econometrics. 14(4):725-745. https://doi.org/10.1093/jjfinec/nbv015

MLA

Pelletier, Dennis and Wei Wei. "The Geometric-VaR Backtesting Method". Journal of Financial Econometrics. 2016, 14(4). 725-745. https://doi.org/10.1093/jjfinec/nbv015

Vancouver

Pelletier D, Wei W. The Geometric-VaR Backtesting Method. Journal of Financial Econometrics. 2016;14(4):725-745. https://doi.org/10.1093/jjfinec/nbv015

Author

Pelletier, Dennis ; Wei, Wei. / The Geometric-VaR Backtesting Method. In: Journal of Financial Econometrics. 2016 ; Vol. 14, No. 4. pp. 725-745.

Bibtex

@article{20328d19042d400ba0cb3eb77876b4b6,
title = "The Geometric-VaR Backtesting Method",
author = "Dennis Pelletier and Wei Wei",
year = "2016",
doi = "10.1093/jjfinec/nbv015",
language = "English",
volume = "14",
pages = "725--745",
journal = "Journal of Financial Econometrics",
issn = "1479-8409",
publisher = "Oxford University Press",
number = "4",

}

RIS

TY - JOUR

T1 - The Geometric-VaR Backtesting Method

AU - Pelletier, Dennis

AU - Wei, Wei

PY - 2016

Y1 - 2016

U2 - 10.1093/jjfinec/nbv015

DO - 10.1093/jjfinec/nbv015

M3 - Journal article

VL - 14

SP - 725

EP - 745

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

SN - 1479-8409

IS - 4

ER -