Download This PaperA 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
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: 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
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