Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/98904 
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 14-028/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly’ from the observed data. The procedure is useful when one wants to summarize the test results for several time series in one joint test statistic and p-value. The proposed test method can have higher power than a test for a univariate time series, especially for short time series. Therefore our test for multiple time series is particularly useful if one wants to assess Value-at-Risk (or Expected Shortfall) predictions over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel data set of stock returns.
Subjects: 
Bootstrap test
GARCH
marginal models
multiple time series
Value-at-Risk
JEL: 
C1
C12
C22
C44
Document Type: 
Working Paper

Files in This Item:
File
Size
512.09 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.