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A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk

by Cyprian Ondieki Omari

International Journal of Econometrics and Financial Management. 2017, 5(2), 22-32. DOI: 10.12691/ijefm-5-2-1
Pub. Date: April 26, 2017Views: 12572 Downloads: 10192Like: 2

backtesting generalized autoregressive conditionally heteroscedastic (GARCH) models Value-at-Risk (VaR) volatility clustering Conditional and Unconditional Coverage Tests

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