Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98904
Authors: 
Ardia, David
Gatarek, Lukasz
Hoogerheide, Lennart F.
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-028/III
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

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