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...

This paper proposes a simple test of Granger [1969] non causality hypothesis in heterogeneous panel data models with fixed coefficients. It proposes a statistic of test based on averaging standard individual Wald statistics of Granger non causality tests. First, this statistic is shown to...