Exact inference in diagnosing Value-at-Risk estimates -- A Monte Carlo device

A Monte Carlo approach is suggested for correctly sized backtesting of Value-at-Risk estimates by means of the dynamic quantile test and a Portmanteau statistic. The latter shows preferable power features but fails in case of unconditional VaR misspecification.

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Year of publication:	2009
Authors:	Herwartz, Helmut
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 103.2009, 3, p. 160-162
Publisher:	Elsevier
Subject:	Value-at-Risk Monte Carlo test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023475