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q-fin.RM2017
Value-at-Risk and Expected Shortfall for the major digital currencies
Stavros Stavroyiannis
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…
q-fin.RM2016
Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
Stavros Stavroyiannis
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…