A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Year of publication: |
2014
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Authors: | Ardia, David ; Gatarek, Lukasz ; Hoogerheide, Lennart F. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Bootstrap test | GARCH | marginal models | multiple time series | Value-at-Risk |
Series: | Tinbergen Institute Discussion Paper ; 14-028/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 779879422 [GVK] hdl:10419/98904 [Handle] RePEc:dgr:uvatin:20140028 [RePEc] |
Classification: | C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C22 - Time-Series Models ; C44 - Statistical Decision Theory; Operations Research |
Source: |
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Ardia, David, (2014)
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Ardia, David, (2014)
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Ardia, David, (2014)
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Ardia, David, (2014)
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