|
EconStor >
Christian-Albrechts-Universität Kiel (CAU) >
Department of Economics, Universität Kiel >
Economics Working Papers, Department of Economics, CAU Kiel >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27671
|
| | |
| Title: | | Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device  |
| 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
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/27671
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|