GitHub - thorpn/BacktestToolbox: A toolbox of Matlab files used to conduct backtesting of Value-at-Risk. The toolbox includes most existing backtests, options for boostrapping as well as a manual and codes for examining power and size of different tests.

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A toolbox of Matlab files used to conduct backtesting of Value-at-Risk. The toolbox includes most existing backtests, options for boostrapping as well as a manual and codes for examining power and size of different tests.

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Name		Name	Last commit message	Last commit date
Latest commit History 2 Commits
Manual.pdf		Manual.pdf
MinimumExample.m		MinimumExample.m
fBootPval.m		fBootPval.m
fCensoreds.m		fCensoreds.m
fCountHitsDuration.m		fCountHitsDuration.m
fCountHitsDuration_mex.mexw64		fCountHitsDuration_mex.mexw64
fCountHitsGeneralized.m		fCountHitsGeneralized.m
fCountHitsGeneralized_mex.mexw64		fCountHitsGeneralized_mex.mexw64
fDurCtest.m		fDurCtest.m
fDurDtest.m		fDurDtest.m
fDurationMarkovtest.m		fDurationMarkovtest.m
fDurations.m		fDurations.m
fDynamicQuantileTest.m		fDynamicQuantileTest.m
fGMMtest.m		fGMMtest.m
fGeneralizedMarkovtest.m		fGeneralizedMarkovtest.m
fJointtest.m		fJointtest.m
fLBtest.m		fLBtest.m
fMarkovtest.m		fMarkovtest.m
fPFtest.m		fPFtest.m
fTUFFtest.m		fTUFFtest.m
fztest.m		fztest.m