Exact inference in diagnosing Value-at-Risk estimates -- A Monte Carlo device

Helmut Herwartz

Economics Letters, 2009, vol. 103, issue 3, 160-162

Abstract: A Monte Carlo approach is suggested for correctly sized backtesting of Value-at-Risk estimates by means of the dynamic quantile test and a Portmanteau statistic. The latter shows preferable power features but fails in case of unconditional VaR misspecification.

Keywords: Value-at-Risk; Monte; Carlo; test (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00087-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:3:p:160-162

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().