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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.3 |
rolling source/ R- | ExactVaRTest_0.1.3.tar.gz |
50.6 KiB |
0.1.3 |
latest source/ R- | ExactVaRTest_0.1.3.tar.gz |
50.6 KiB |
0.1.3 |
2026-04-23 source/ R- | ExactVaRTest_0.1.3.tar.gz |
50.6 KiB |
0.1.3 |
2026-04-09 windows/windows R-4.5 | ExactVaRTest_0.1.3.zip |
465.9 KiB |