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A Note on Jointly Backtesting Models for Multiple Assets and Horizons

David Ardia, Anas Guerrouaz & Lennart Hoogerheide

Abstract We propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts.
   
Keywords 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 Journal article (English)
Date of appearance 5-2016
Journal Wilmott Magazine
Volume 83
Pages 46-49
URL http://onlinelibrary.wiley.com/doi/10.1002/wilm.10509/abs...
Related project Gestion des risques financiers : l'incidence de l'estimat...