This paper introduces a kernel-based nonparametric inferential proce-

This paper investigates the global crude oil market dependence during extreme price movements. To this aim we extend the univariate Granger causality test in extreme risk developed by Hong et al. (2009) in a multivariate context. Asymptotic as well as finite sample properties are delivered....

This paper proposes a new duration-based backtesting procedure for value-at-risk (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 the VaR forecasts validity. Using simple...

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 the VaR forecasts validity. Using simple J-statistic based on...