Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device

Helmut Herwartz

No 2008-16, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics

Abstract: In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test suggested by Engle and Manganelli (2004) turns out more powerful than a recently proposed Portmanteau type test (Hurlin and Tokpavi 2006).

Keywords: Value-at-Risk; Monte Carlo test (search for similar items in EconPapers)
JEL-codes: C22 C52 G28 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cauewp:7411

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