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Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
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2023
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Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period
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Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation
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A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
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2021
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Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate
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Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
SERIEs,
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