Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298)
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scientific article; zbMATH DE number 7213103
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| English | Model selection based on value-at-risk backtesting approach for GARCH-type models |
scientific article; zbMATH DE number 7213103 |
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Model selection based on value-at-risk backtesting approach for GARCH-type models (English)
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18 June 2020
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model selection
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backtest
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value-at-risk
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GARCH model
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skewed distribution
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0.8652547
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0.86470854
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0.8626471
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0.85581803
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0.8547508
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0.84846944
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0.8475231
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0.84527624
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