14-028/III - A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis

• Authors
  David Ardia, Laval University, Quebec, Canada; Lukasz Gatarek, Erasmus University Rotterdam; Lennart F. Hoogerheide, VU University Amsterdam
• Publication date
  February 28, 2014

• Keywords
  Bootstrap test, GARCH, marginal models, multiple time series, Value-at-Risk
• JEL
  C1, C12, C22, C44