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Title:Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device PDF Logo
Authors:Herwartz, Helmut
Issue Date:2008
Series/Report no.:Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics 2008,16
Abstract:In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test suggested by Engle and Manganelli (2004) turns out more powerful than a recently proposed Portmanteau type test (Hurlin and Tokpavi 2006).
Subjects:Value-at-Risk
Monte Carlo test
JEL:G28
C52
C22
Document Type:Working Paper
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

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