This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...

Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...