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A Note on Jointly Backtesting Models for Multiple Assets and Horizons

David Ardia, Anas Guerrouaz & Lennart Hoogerheide

Résumé We propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts.
   
Mots-clés bootstrap test;GARCH;dependent time series;multiple testing;value-at-risk
   
Citation Ardia, D., Guerrouaz, A., & Hoogerheide, L. (2016). A Note on Jointly Backtesting Models for Multiple Assets and Horizons. Wilmott Magazine, 83, 46-49.
   
Type Article de périodique (Anglais)
Date de publication 5-2016
Nom du périodique Wilmott Magazine
Volume 83
Pages 46-49
URL http://onlinelibrary.wiley.com/doi/10.1002/wilm.10509/abs...
Liée au projet Gestion des risques financiers : l'incidence de l'estimat...