Out of sample value-at-risk and backtesting with the standardized pearson Type-IV skewed distribution
Stavros Stavroyiannis; Leonidas Zarangas
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009742531