Hurlin, Christophe; Colletaz, Gilbert; Tokpavi, Sessi; … - HAL - 2008
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by …-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional duration based test. An empirical … application for Nasdaq returns confirms that using GMM test leads to major consequences for the ex-post evaluation of the risk by …