The Kupiec test compares the number of exceptions in days with the expected by the likelihood ratio , , chi-square with one degree of freedom. The Christoffersen test checks independence: it compares the probability of an exception after an exception with the probability after a quiet day.
Quantitative Finance · Begrippenlijst
Wat is Kupiec test, Christoffersen test?
Ook bekend als: Kupiec test · Christoffersen test