This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...

This article proposes omnibus specification tests of parametric dynamic quantile models. Contrary to the existing procedures, we allow for a flexible specification, where a possibly continuum of quantiles are simultaneously specified under fairly weak conditions on the serial dependence in the...

Backtesting methods are statistical tests designed to uncover value-at-risk (VaR) models not capable of reporting the correct unconditional coverage probability or filtering the serial dependence in the data. We show in this paper that these methods are subject to the presence of model risk...