Model selection based on value-at-risk backtesting approach for GARCH-Type models
Author:
Tay Hao-Zhe, ,Ng Kok-Haur,Koh You-Beng,Ng Kooi-Huat,
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management