A Note on Jointly Backtesting Models for Multiple Assets and Horizons
Author(s)
Date issued
May 2016
In
Wilmott Magazine
No
83
From page
46
To page
49
Reviewed by peer
1
Subjects
bootstrap test GARCH dependent time series multiple testing value-at-risk
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.
Later version
https://ssrn.com/abstract=2732069
Publication type
journal article
File(s)