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1
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 …
Persistent link: https://www.econbiz.de/10010857990
Saved in:
2
A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
Bhattacharyya, Malay
;
Madhav R, Siddarth
-
Volkswirtschaftliche Fakultät, …
-
2012
, the ARMA-GARCH process is run assuming alternatively that the standardized residuals are distributed with
Pearson
Type
IV
…
Persistent link: https://www.econbiz.de/10011259375
Saved in:
3
Estimation of dynamic VaR using JSU and PIV distributions
Venkataraman, Sree Vinutha
;
Rao, S. V. D. Nageswara
- In:
Risk management : a journal of risk, crisis and disaster
18
(
2016
)
2/3
,
pp. 111-134
Persistent link: https://www.econbiz.de/10011537388
Saved in:
4
Expected shortfall and tail conditional expectation with the
Pearson
type
IV
distribution
Stavroyiannis, Stavros
- In:
Global business & economics review
18
(
2016
)
1
,
pp. 41-53
Persistent link: https://www.econbiz.de/10011738550
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