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20162022
most citedCointegration and ARDL specification between the Dubai crude oil and the US natural gas market

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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…