ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing
Provides fast dynamic-programming algorithms in 'C++'/'Rcpp'
(with pure 'R' fallbacks) for the exact finite-sample distributions
and p-values of Christoffersen (1998) independence (IND) and
conditional-coverage (CC) VaR backtests. For completeness, it also
provides the exact unconditional-coverage (UC) test following
Kupiec (1995) via a closed-form binomial enumeration. See
Christoffersen (1998) <doi:10.2307/2527341> and Kupiec (1995)
<doi:10.3905/jod.1995.407942>.
| Version: |
0.1.3 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
Rcpp, stats |
| LinkingTo: |
Rcpp |
| Suggests: |
bench, dplyr, tidyr, purrr, ggplot2, xts, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2025-08-22 |
| Author: |
Yujian Chen [aut, cre] |
| Maintainer: |
Yujian Chen <yjc4996 at gmail.com> |
| BugReports: |
https://github.com/YujianCHEN219/ExactVaRTest/issues |
| License: |
GPL (≥ 3) |
| URL: |
https://github.com/YujianCHEN219/ExactVaRTest |
| NeedsCompilation: |
yes |
| Language: |
en-US |
| Materials: |
README, NEWS |
| CRAN checks: |
ExactVaRTest results |
Documentation:
Downloads:
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