Bertrand, Candelon; Gilberg, Colletaz; Christophe, Hurlin; … - Maastricht : METEOR, Maastricht Research School of … - 2009
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e., the geometric distribution) is applied to the case of VaR forecast validity. Using simple J-statistics based on...
