Weiß, Gregor N. F.
|Title:||Evaluating value-at-risk forecasts|
|Other Titles:||A new set of multivariate backtests|
|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.|
|Subject Headings:||Model Risk|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_0915_SFB823_Wied_Weiss_Ziggel.pdf||DNB||149.96 kB||Adobe PDF||View/Open|
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