Posch, Peter N.
|Title:||Using the extremal index for value-at-risk backtesting|
|Abstract:||We introduce a set of new Value-at-Risk independence backtests by establishing a connection between the independence property of Value-at-Risk forecasts and the extremal index, a general measure of extremal clustering of stationary sequences. We introduce a sequence of relative excess returns whose extremal index has to be estimated. We compare our backtest to both popular and recent competitors using Monte-Carlo simulations and find considerable power in many scenarios. In an applied section we perform realistic out-of-sample forecasts with common forecasting models and discuss advantages and pitfalls of our approach.|
|Subject Headings:||VaR backtesting|
|Subject Headings (RSWK):||Value at Risk|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_2518_Bücher_Posch_Schmidtke.pdf||DNB||425.4 kB||Adobe PDF||View/Open|
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