Specification tests of parametric dynamic conditional quantiles

Juan Carlos Escanciano and Carlos Velasco

Journal of Econometrics, 2010, vol. 159, issue 1, 209-221

Abstract: This article proposes omnibus specification tests of parametric dynamic quantile models. In contrast to the existing procedures, we allow for a flexible specification, where a possible continuum of quantiles is simultaneously specified under fairly weak conditions on the serial dependence in the underlying data-generating process. Since the null limit distribution of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo study shows that the asymptotic results provide good approximations for small sample sizes. Finally, an application suggests that our methodology is a powerful alternative to standard backtesting procedures in evaluating market risk.

Keywords: Omnibus; tests; Conditional; quantiles; Nonlinear; time; series; Empirical; processes; Quantile; processes; Subsampling; Value-at-risk; Tail; risk (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Related works:
Working Paper: Specification tests of parametric dynamic conditional quantiles (2010)
Working Paper: Specification Tests of Parametric Dynamic Conditional Quantiles (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:159:y:2010:i:1:p:209-221

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