Automatic portmanteau tests with applications to market risk management

Guangwei Zhu (), Zaichao Du and Juan Carlos Escanciano
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Guangwei Zhu: Southwestern University of Finance and Economics

Stata Journal, 2017, vol. 17, issue 4, 901-915

Abstract: In this article, we review some recent advances in testing for serial correlation, provide code for implementation, and illustrate this code’s application to market risk forecast evaluation. We focus on the classic and widely used portman- teau tests and their data-driven versions. These tests are simple to implement for two reasons: First, the researcher does not need to specify the order of the tested autocorrelations, because the test automatically chooses this number. Second, its asymptotic null distribution is chi-squared with one degree of freedom, so there is no need to use a bootstrap procedure to estimate the critical values. We illustrate the wide applicability of this methodology with applications to forecast evaluation for market risk measures such as value-at-risk and expected shortfall. Copyright 2017 by StataCorp LP.

Keywords: dbptest; rtau; autocorrelation; consistency; power; Akaike’s information criterion; Schwarz’s Bayesian information criterion; market risk (search for similar items in EconPapers)
Date: 2017
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Working Paper: Automatic Portmanteau Tests with Applications to Market Risk Management (2017)
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