Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/98904 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 14-028/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
Bootstrap test
GARCH
marginal models
multiple time series
Value-at-Risk
JEL: 
C1
C12
C22
C44
Dokumentart: 
Working Paper
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