Construct · 1 fields · 1 citations

Christoffersen test: a standalone construct

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Risk management

likelihood ratio test of interval or VaR forecasts that checks both correct coverage and independence of exceptions.

In risk management, Christoffersen test refers to likelihood ratio test of interval or VaR forecasts that checks both correct coverage and independence of exceptions. This meaning comes from Christoffersen (1998) in International Economic Review.[1]

Unit
Recovery means
Measured by

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Nearby constructs

coverage3 fields · 3 citationsjingle · one word, three constructs interval4 fields · 5 citationsjingle · one word, four constructs likelihood3 fields · 3 citationsjingle · one word, three constructs

References

Christoffersen, P. F. (1998). Evaluating Interval Forecasts. International Economic Review, 39(4), 841. https://doi.org/10.2307/2527341

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