CRAN: Package ExactVaRTest

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>.

Version: 0.1.3

Depends: R (≥ 3.5.0)

Imports: Rcpp, stats

LinkingTo: Rcpp

Suggests: bench, dplyr, tidyr, purrr, ggplot2, xts, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0)

Published: 2025年08月22日

DOI: 10.32614/CRAN.package.ExactVaRTest

Author: Yujian Chen [aut, cre]

Maintainer: Yujian Chen <yjc4996 at gmail.com>

BugReports: https://github.com/YujianCHEN219/ExactVaRTest/issues

License: GPL (≥ 3)

URL: https://github.com/YujianCHEN219/ExactVaRTest

NeedsCompilation: yes

Language: en-US

Materials: README, NEWS

CRAN checks: ExactVaRTest results

Documentation:

Reference manual: ExactVaRTest.html , ExactVaRTest.pdf

Vignettes: ExactVaRTest-intro (source, R code)

Downloads:

Package source: ExactVaRTest_0.1.3.tar.gz

Windows binaries: r-devel: ExactVaRTest_0.1.3.zip, r-release: ExactVaRTest_0.1.3.zip, r-oldrel: ExactVaRTest_0.1.3.zip

macOS binaries: r-release (arm64): ExactVaRTest_0.1.3.tgz, r-oldrel (arm64): ExactVaRTest_0.1.3.tgz, r-release (x86_64): ExactVaRTest_0.1.3.tgz, r-oldrel (x86_64): ExactVaRTest_0.1.3.tgz

Linking:

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