Optimal window size detection in Value-at-Risk forecasting: A case study on conditional generalised hyperbolic models
The conventional parametric approach for financial risk measure estimation involves determining an appropriate quantitative model, as well as a suitable historical sample period in which the model can be trained. While a lion’s share of the existing literature entertains the identification of the m...
| Main Authors: | , , , |
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| Format: | Conference Paper |
| Language: | English |
| Published: |
South African Statistical Association
2022
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| Subjects: | |
| Online Access: | https://www.journals.ac.za/sasj/Proceedings http://hdl.handle.net/20.500.11937/92269 |