A Note on Jointly Backtesting Models for Multiple Assets and Horizons

Wilmott Magazine 83, pp.46-48, 2016

6 Pages Posted: 13 Feb 2016 Last revised: 15 Nov 2017

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Anas Guerrouaz

Université Laval - Département de Finance et Assurance

Lennart F. Hoogerheide

VU University Amsterdam

Date Written: February 13, 2016

Abstract

We propose a simulation-based methodology which allows us to test the performance of multi-level and/or multi-horizon Value-at-Risk forecasts.

Keywords: Bootstrap test, GARCH, dependent time series, multiple testing, Value-at-Risk

JEL Classification: C1, C12, C22, C44

Suggested Citation

Ardia, David and Guerrouaz, Anas and Hoogerheide, Lennart F., A Note on Jointly Backtesting Models for Multiple Assets and Horizons (February 13, 2016). Wilmott Magazine 83, pp.46-48, 2016, Available at SSRN: https://ssrn.com/abstract=2732069

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Anas Guerrouaz

Université Laval - Département de Finance et Assurance ( email )

Pavillon Palasis-Prince
Quebec G1K 7P4
Canada

Lennart F. Hoogerheide

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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