EconPapers    
Economics at your fingertips  
 

Automatic Portmanteau Tests with Applications to Market Risk Management

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

No 2017-002, CAEPR Working Papers from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington

Abstract: This article reviews some recent advances in testing for serial correlation, provides Stata code for implementation and illustrates its application to market risk forecast evaluation. The classical and widely used Portamenteau tests and their data-driven versions are the focus of this article. These tests are simple to implement for two reasons: First, the researcher does not need to specify the order of the autocorrelation tested, since the test automatically chooses this number; second, its asymptotic null distribution is chi-square with one degree of freedom, so there is no need of using a bootstrap procedure to estimate the critical values. We illustrate the wide applicability of the methodology with applications to forecast evaluation for market risk measures, such as Value-at-Risk and Expected Shortfall.

Keywords: Autocorrelation; consistency; power; Akaike's AIC; Schwarz's BIC; Market Risk (search for similar items in EconPapers)
JEL-codes: C13 C26 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2017-03
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://caepr.indiana.edu/RePEc/inu/caeprp/CAEPR2017-002.pdf (application/pdf)

Related works:
Journal Article: Automatic portmanteau tests with applications to market risk management (2017) Downloads
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:inu:caeprp:2017002

Access Statistics for this paper

More papers in CAEPR Working Papers from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Contact information at EDIRC.
Bibliographic data for series maintained by Center for Applied Economics and Policy Research ().

 
Page updated 2019-10-17
Handle: RePEc:inu:caeprp:2017002