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Out of Sample Value-at-Risk and Backtesting with the Standardized
Pearson
Type-IV
Skewed Distribution
Stavroyiannis, Stavros
;
Zarangas, Leonidas
- In:
Panoeconomicus
60
(
2013
)
2
,
pp. 231-247
the innovations follow a standardized form of the
Pearson
type-IV
distribution. The performance of the model is examined …
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