Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - National Centre for Econometric Research (NCER) - 2010
This paper is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such...