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Robust backtesting tests for value-at-risk models

Escanciano, J. Carlos; Olmo, Jose - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 132-161

Persistent link: https://www.econbiz.de/10009125151

Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

Pei, Pei - 2011

framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and …This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in …

Persistent link: https://www.econbiz.de/10013132320

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos - 2012

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Persistent link: https://www.econbiz.de/10013108779

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk

Oskay, Bora - 2018

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several...

Persistent link: https://www.econbiz.de/10012925488

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …

Persistent link: https://www.econbiz.de/10003747376

Testing for Conditional Heteroscedasticity in the Components of Inflation

Broto, Carmen - 2008

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may...

Persistent link: https://www.econbiz.de/10012724002