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Out of sample value-at-risk and backtesting with the standardized pearson Type-IV skewed distribution

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Panoeconomicus 60 (2013) 2, pp. 231-247

Persistent link: https://www.econbiz.de/10009742531

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

This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the...

Persistent link: https://www.econbiz.de/10010857990

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

Persistent link: https://www.econbiz.de/10010147683

The Greek crisis: causes and implications

Kouretas, Georgios P.; Vlamis, Prodromos - In: Panoeconomicus 57 (2010) 4, pp. 391-404

Persistent link: https://www.econbiz.de/10008823207

Special issue: 16th International Conference on Macroeconomic Analysis and International Finance, Rethymno (Greece), 24th to 26th May, 2012, selected papers

Kouretas, Georgios P. (contributor) - International Conference on Macroeconomic Analysis and … - 2013

Persistent link: https://www.econbiz.de/10009742523