Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
A new bootstrap test for multiple assets joint risk testing
Need to know
- A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
- The proposed test method can have higher statistical power than a test for a univariate time series, especially for short time series.
- We apply our method to test GARCH model specifications for a large panel data set of stock returns.
Abstract
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken directly from the observed data. The procedure is useful when one wants to summarize the test results for several time series in one joint test statistic and p value. The proposed test method can have higher statistical power than a test for a univariate time series, especially for short time series. Therefore, our test for multiple time series is particularly useful if one wants to assess value-at-risk (or expected shortfall) predictions within a small time frame (eg, a crisis period). We apply our method to test generalized autoregressive conditional heteroscedasticity (GARCH) model specifications for a large panel data set of stock returns.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net