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
Date Written: February 13, 2016
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