Risk measurement and backtesting of financial market based on E-GAS-AST model

DOI10.3969/J.ISSN.0253-2778.2020.05.013zbMATH Open1488.91165MaRDI QIDQ5017296FDOQ5017296

Yimeng Xia, Yu Chen

Publication date: 17 December 2021

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zbMATH Keywords

backtestrisk measuresVaRGAS modelAST distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

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