Bootstrapped Backtesting for Risk Metric in GARCH Models
碩士 === 中原大學 === 財務金融研究所 === 107 === Abstract The validity of backtesting in value at risk (VaR) has not yet been established even today, mainly because of a lack of effective measurement and the uncertainty of model selections. This study measures the risks involved in the process using the Bootstra...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ag2378 |