| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089774 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We evaluate the evaluation of Value-at-Risk HS and FHS forecasts. ⺠We theoretically show that the popular unconditional backtest is inconsistent. ⺠Our results imply that multiplication factors for capital requirements are downward biased. ⺠A new backtesting procedure is proposed, with good power properties. ⺠An empirical application illustrates and confirms our theoretical results.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Juan Carlos Escanciano, Pei Pei,