Backtesting value-at-risk: A GMM duration-based test

Journal of Financial Econometrics

Volumn 9, Issue 2, 2011, Pages 314-343

  Candelon, Bertrand ^a   Colletaz, Gilbert ^b   Hurlin, Christophe ^b   Tokpavi, Sessi ^c  

^a MAASTRICHT UNIVERSITY   (Netherlands)

^b UNIVERSITÉ D'ORLÉANS   (France)

^c School of Oriental and African Studies   (France)

Author keywords

Backtesting; Duration based test; Estimation risk,GMM; Value at risk

Indexed keywords

EID: 79954590768     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq025     Document Type: Article

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