White et al. (2015) extend the vector autoregressive (VAR) for conditional mean to VAR for conditional quantiles (VAR-VaR) to capture the interdependencies among the quantiles of multiple time series. In this paper, we introduce a post-lasso estimator to extend VAR-VaR to the high-dimensional...

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...