Out of sample value-at-risk and backtesting with the standardized pearson Type-IV skewed distribution
Year of publication: |
2013
|
---|---|
Authors: | Stavroyiannis, Stavros ; Zarangas, Leonidas P. |
Published in: |
Panoeconomicus. - Novi Sad, ISSN 1452-595X, ZDB-ID 2261714-0. - Vol. 60.2013, 2, p. 231-247
|
Subject: | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ökonometrisches Modell | Econometric model | ARCH-Modell | ARCH model |
-
Mashalaba, Q., (2020)
-
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F., (2015)
-
Value at risk from econometric models and implied from currency options
Chong, James, (2004)
- More ...
-
Value-at-risk for the long and short trading position with the pearson type-IV distribution
Stavroyiannis, Stavros, (2013)
-
Stavroyiannis, Stavros, (2015)
-
Drakos, Anastassios A., (2017)
- More ...