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

    120 Downloads (Pure)
    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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