Testing and comparing Value-at-Risk measures

C-Tier

Journal: Journal of Empirical Finance

Year: 2001

Volume: 8

Issue: 3

Pages: 325-342

Authors (3)

Christoffersen, Peter Hahn, Jinyong (not in RePEc) Inoue, Atsushi (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count