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Conditional VaR estimation using Pearson’s type IV distribution

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1988

The statistical properties of daily foreign exchange rates: 1974–1983

432 cited

Cited by

2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions37 cited
2012Econometric modeling and value-at-risk using the Pearson type-IV distribution36 cited
2013A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation34 cited
2014A New Pearson-Type QMLE for Conditionally Heteroscedastic Models22 cited