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

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

Cite this

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publisher = "Tinbergen Institute",
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann. / Hoogerheide, L.F.; Ravazzolo, F.; van Dijk, H.K.

Amsterdam : Tinbergen Institute, 2011.

Research output: Working paperProfessional

TY - UNPB

T1 - Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

AU - Hoogerheide, L.F.

AU - Ravazzolo, F.

AU - van Dijk, H.K.

N1 - http://www.tinbergen.nl/discussionpaper/?paper=1822

PY - 2011

Y1 - 2011

M3 - Working paper

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

PB - Tinbergen Institute

CY - Amsterdam

ER -