Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-02-23 (All new papers)
- NEP-ECM-2016-02-23 (Econometrics)
- NEP-ETS-2016-02-23 (Econometric Time Series)
- NEP-RMG-2016-02-23 (Risk Management)
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