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Specification tests of parametric dynamic conditional quantiles. (English) Zbl 1431.62186
Summary: This article proposes omnibus specification tests of parametric dynamic quantile models. In contrast to the existing procedures, we allow for a flexible specification, where a possible continuum of quantiles is simultaneously specified under fairly weak conditions on the serial dependence in the underlying data-generating process. Since the null limit distribution of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo study shows that the asymptotic results provide good approximations for small sample sizes. Finally, an application suggests that our methodology is a powerful alternative to standard backtesting procedures in evaluating market risk.

MSC:
62G10 Nonparametric hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20 Asymptotic properties of nonparametric inference
62P20 Applications of statistics to economics
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