TY  - RPRT
AU  - Abad Romero, Pilar
AU  - Benito Muela, Sonia
AU  - Sánchez Granero, Miguel Angel
AU  - López, Carmen
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41535
AB  - This paper evaluates the performance of several skewed and symmetric distributions in modeling the tail behavior of daily returns and forecasting Value at Risk (VaR). First, we used some goodness of fit tests to analyze which distribution best fits...
LA  - eng
KW  - Value at Risk
KW  - Parametric model
KW  - Skewness t-Generalised Distribution
KW  - GARCH Model
KW  - Risk Management
KW  - Loss function.
TI  - Evaluating the performance of the skewed distributionsto forecast Value at Risk in the Global Financial Crisis
TY  - technical report
VL  - 2013
ER  -