Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wied, Dominik | - |
dc.contributor.author | Weiß, Gregor N. F. | - |
dc.contributor.author | Ziggel, Daniel | - |
dc.date.accessioned | 2015-04-13T08:48:51Z | - |
dc.date.available | 2015-04-13T08:48:51Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33998 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7210 | - |
dc.description.abstract | We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect first-order instationarities in the matrix of VaR-violations. Second, we propose χ 2-tests for detecting cross-sectional and serial dependence in the VaR-forecasts. Moreover, we combine our new backtests with a test of unconditional coverage to yield two new backtests of multivariate conditional coverage. In all cases, a bootstrap approximation is possible, but not mandatory in terms of empirical size and power. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;9/2015 | en |
dc.subject | Model Risk | en |
dc.subject | Value-at-Risk | en |
dc.subject | Multivariate Backtesting | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Evaluating value-at-risk forecasts | en |
dc.title.alternative | A new set of multivariate backtests | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0915_SFB823_Wied_Weiss_Ziggel.pdf | DNB | 149.96 kB | Adobe PDF | View/Open |
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