FN3142 Chapter 14 Risk management and Value-at-Risk: Backtesting
Here I added three videos and corresponding pdf files on three topics:
Chapter 14. Part 1. Evaluating VAR forecasts
Chapter 14. Part 2. Conditional coverage tests
Chapter 14. Part 3. Diebold-Mariano test for VaR forecasts
Be sure to watch all of them because sometimes I make errors and correct them in later videos.
All files are here.
Unconditional coverage test
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