Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

L.F. Hoogerheide, F. Ravazzolo, H.K. van Dijk

Research output: Working paperProfessional

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Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages17
Publication statusPublished - 2011

Publication series

Name
No.11-131/4

Bibliographical note

http://www.tinbergen.nl/discussionpaper/?paper=1822

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