Econometric methods based on the first-order conditions of intertemporal optimization models have gained increasing popularity in recent years. To a large extent, this development stems from the celebrated Lucas critique, which argued forcibly that traditional econometric models are not...

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...