Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International Journal of Forecasting 30 (2014) 2, pp. 206-216
We propose independence and conditional coverage tests which are aimed at evaluating the accuracy of Value-at-Risk (VaR) forecasts from the same model at different confidence levels. The proposed procedures are multilevel tests, i.e., joint tests of several quantiles corresponding to different...