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

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

Econometrics and Data Science

Research output: Working paper / Preprint › Working paper › Professional

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Original language	English
Place of Publication	Amsterdam
Publisher	Tinbergen Institute
Number of pages	17
Publication status	Published - 2011

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No.	11-131/4

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

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270267Final published version, 151 KB

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

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Cite this

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