11-131/4 - Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann

  • Authors
    Lennart F. Hoogerheide, VU University Amsterdam; Francesco Ravazzolo, Norges Bank; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam.
  • Publication date
    September 20, 2011
  • Keywords
    Value-at-Risk, backtest, optimal revision, forecast rationality
  • JEL
    C12, C52, C53, C58, G32
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