Hurlin, Christophe; Tokpavi, Sessi - In: Revue économique 58 (2007) 3, pp. 599-608
This paper proposes a new simple test of market risk models validation or Value at Risk (VaR) accuracy. The test exploits the idea that the sequence of VaR violations verifies the properties of a white noise. More precisely, we use the Multivariate Portmanteau statistic of Hosking [1980] to...
