Specification Tests of Parametric Dynamic Conditional Quantiles Articles uri icon

publication date

  • November 2010

start page

  • 209

end page

  • 221


  • 1


  • 159

International Standard Serial Number (ISSN)

  • 0304-4076

Electronic International Standard Serial Number (EISSN)

  • 1872-6895


  • 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.