A new class of independence tests for interval forecasts evaluation

DOI10.1016/j.csda.2010.10.002zbMath1254.91759OpenAlexW2166673366MaRDI QIDQ1927119

Paulo Araújo Santos, M. Isabel Fraga Alves

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.10.002

zbMATH Keywords

backtestingquantitative risk managementhit sequence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Financial applications of other theories (91G80) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

GFC-robust risk management under the Basel accord using extreme value methodologies ⋮ Forecasting value-at-risk with a duration-based POT method ⋮ DPOT Methodology: An Application to Value-at-Risk ⋮ Distributions of Clusters of Exceedances and Their Applications in Telecommunication Networks

Uses Software

• R
• CAViaR
• RMetrics
• fGarch

Cites Work

• Testing normality: a GMM approach
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Generalized autoregressive conditional heteroscedasticity
• Zur Parameter- und Prozentpunktschätzung von Lebensdauerverteilungen bei kleinem Stichprobenumfang
• On Bayesian Modeling of Fat Tails and Skewness
• Probability density function of quotient of order statistics from the pareto, power and weibull distributions

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