We elaborate on the tail conditional expectation, the tail conditional variance, and the tail variance when the residuals follow the standardized Pearson type-IV distribution. If the probability density function describing the data generation process is continuous and the moments are finite,...

We examine the efficiency of the Asymmetric Power ARCH (APARCH) model in the case where the residuals follow the standardized Pearson type IV distribution. The model is tested with a variety of loss functions and the efficiency is examined via application of several statistical tests and risk...

Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major digital currencies, Bitcoin, Ethereum, Litecoin, and...