Backtesting Value-at-Risk: A GMM Duration-Based Test
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2010/08/09
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Indian UGC (journal)
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Refrences11
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Citations63
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B. Candelon
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G. Colletaz
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C. Hurlin
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S. Tokpavi
Cite
Candelon, B., et al. “Backtesting Value-at-Risk: A GMM Duration-Based Test”. Journal of Financial Econometrics, vol. 9, no. 2, 2010, pp. 314-43, https://doi.org/10.1093/jjfinec/nbq025.
Candelon, B., Colletaz, G., Hurlin, C., & Tokpavi, S. (2010). Backtesting Value-at-Risk: A GMM Duration-Based Test. Journal of Financial Econometrics, 9(2), 314-343. https://doi.org/10.1093/jjfinec/nbq025
Candelon B, Colletaz G, Hurlin C, Tokpavi S. Backtesting Value-at-Risk: A GMM Duration-Based Test. Journal of Financial Econometrics. 2010;9(2):314-43.
Journal Categories
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Backtesting Value-at-Risk: A Duration-Based Approach | Journal of Financial Econometrics |
| 219 | 2004 |
| Testing normality: a GMM approach | Journal of Econometrics |
| 91 | 2005 |
| Large Sample Properties of Generalized Method of Moments Estimators | Econometrica |
| 7,561 | 1982 |
| CAViaR | Journal of Business & Economic Statistics |
| 1,289 | 2004 |
| Evaluating Interval Forecasts | International Economic Review |
| 1,550 | 1998 |
Refrences Analysis
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
New runs‐based approach to testing value at risk forecasts | Journal of Forecasting |
| 2024 | |
| A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war | Quality & Quantity | 2024 | ||
Forecasting extreme negative returns in gold and silver: A discrete‐duration approach to POT models | Applied Stochastic Models in Business and Industry |
| 1 | 2023 |
| A New Risk Measure MMVaR: Properties and Empirical Research | Journal of Systems Science and Complexity |
| 2023 | |
Monitoring Value-at-Risk and Expected Shortfall Forecasts | Management Science |
| 5 | 2023 |
Citations Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 37
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Margin Backtesting and was published in 2011. The most recent citation comes from a 2024 study titled A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. This article reached its peak citation in 2015, with 10 citations. It has been cited in 40 different journals, 2% of which are open access. Among related journals, the Journal of Forecasting cited this research the most, with 7 citations. The chart below illustrates the annual citation trends for this article.