Model selection based on value-at-risk backtesting approach for GARCH-Type models

Hao-Zhe TayKok-Haur NgYou-Beng KohKooi Huat Ng2024-10-292024-10-292020https://www.aimsciences.org/article/doi/10.3934/jimo.2019021https://dspace-cris.utar.edu.my/handle/123456789/5304Model selection based on value-at-risk backtesting approach for GARCH-Type modelsjournal-article