Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device

In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test suggested by Engle and Manganelli (2004) turns out more powerful than a recently proposed Portmanteau type test (Hurlin and Tokpavi 2006).

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Year of publication:	2008
Authors:	Herwartz, Helmut
Institutions:	Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
Subject:	Value-at-Risk \| Monte Carlo test

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Extent:	application/pdf
Series:	Economics Working Papers. - ISSN 2193-2476.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008,16
Classification:	G28 - Government Policy and Regulation ; C52 - Model Evaluation and Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005082922