Package: ExactVaRTest
Title: Exact Finite-Sample Value-at-Risk Back-Testing
Version: 0.1.3
Language: en-US
Authors@R: 
    person("Yujian", "Chen",
           email = "yjc4996@gmail.com",
           role  = c("aut", "cre"))
Maintainer: Yujian Chen <yjc4996@gmail.com>
Description: 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>.
License: GPL (>= 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)
Encoding: UTF-8
RoxygenNote: 7.3.2
URL: https://github.com/YujianCHEN219/ExactVaRTest
BugReports: https://github.com/YujianCHEN219/ExactVaRTest/issues
Acknowledgements: I greatly appreciate Christian Francq, Christophe
        Hurlin, and Jean-Michel Zakoian's guidance and support. In
        particular, Christian Francq generously shared the initial
        idea; without his help, this package would not exist.
Config/testthat/edition: 3
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2025-08-18 19:43:47 UTC; chenyujian
Author: Yujian Chen [aut, cre]
Repository: CRAN
Date/Publication: 2025-08-22 17:20:02 UTC
Built: R 4.6.0; aarch64-apple-darwin23; 2026-04-25 18:44:29 UTC; unix
Archs: ExactVaRTest.so.dSYM
