Comparison of value-at-risk models using the MCS approach (Q736648)
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scientific article; zbMATH DE number 6609287
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| English | Comparison of value-at-risk models using the MCS approach |
scientific article; zbMATH DE number 6609287 |
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Comparison of value-at-risk models using the MCS approach (English)
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4 August 2016
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hypothesis testing
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model confidence set
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value-at-risk
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VaR combination
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ARCH
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GAS
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CAViaR models
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0.7691022157669067
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0.7668017148971558
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0.7447504997253418
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0.7401977181434631
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0.7314131259918213
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