Automatic portmanteau tests with applications to market risk management
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- Zaichao Du & Juan Carlos Escanciano & Guangwei Zhu, 2017. "Automatic Portmanteau Tests with Applications to Market Risk Management," CAEPR Working Papers 2017-002, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
References listed on IDEAS
- Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
- Zaichao Du & Juan Carlos Escanciano, 2017.
"Backtesting Expected Shortfall: Accounting for Tail Risk,"
Management Science, INFORMS, vol. 63(4), pages 940-958, April.
- Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Escanciano, J. Carlos & Olmo, Jose, 2010.
"Backtesting Parametric Value-at-Risk With Estimation Risk,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
- Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," CAEPR Working Papers 2007-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, revised Sep 2008.
- Delgado, Miguel A. & Velasco, Carlos, 2011. "An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 946-958.
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Cited by:
- Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2022. "Futures–spot price transmission in EU corn markets," Agribusiness, John Wiley & Sons, Ltd., vol. 38(3), pages 679-709, July.
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More about this item
Keywords
dbptest; rtau; autocorrelation; consistency; power; Akaike’s information criterion; Schwarz’s Bayesian information criterion; market risk;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
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