Backtesting value-at-risk : a GMM duration-based test

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Hierarchical Kendall copulas: Properties and inference (2012, unknown): “xed Kupiec test of conditional coverage by Haas (2001) (CC2), the Weibull test of independence by Christoersen and Pelletier (2004) (IND2), and the duration-based GMM test of conditional coverage by Candelon et al. (2011) (CC3 and CC4 with orders 2 and 5, respectively). Here, the Value-at-Risk of an”
A review of backtesting for value at risk (2018, methodology): “…duration - based tests (Christoﬀersen and Pelletier, 2004, Berkowitz et al., 2011), Haas (2006)’s test, generalized method of moments duration - based test (Hurlin et al., 2010), conditional duration test (Christoﬀersen and Pelletier, 2002), Kr¨amer and Wied (2015)’s test, Markov duration tests…”
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013, background): “• The duration based GMM test of conditional coverage by Candelon et al. (2011) with orders 2 and 5.”