This article introduces a data-driven Box-Pierce test for serial correlation. The proposed test is very attractive compared to the existing ones. In particular, implementation of this test is extremely simple for two reasons: first, the researcher does not need to specify the order of the...

This paper establishes the weak convergence of a class of marked empirical processes of possibly non-stationary and/or non-ergodic multivariate time series sequences under martingale conditions. The assumptions involved are similar to those in Brown's martingale central limit theorem. In...

Backtesting methods are statistical tests designed to uncover value-at-risk (VaR) models not capable of reporting the correct unconditional coverage probability or filtering the serial dependence in the data. We show in this paper that these methods are subject to the presence of model risk...