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https://hdl.handle.net/2440/74724
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Type: | Journal article |
Title: | Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution |
Author: | Chen, Qian Gerlach, Richard Lu, Zudi |
Citation: | Computational Statistics & Data Analysis, 2012; 56(11):3498–3516 |
Publisher: | Elsevier Science BV |
Issue Date: | 2012 |
ISSN: | 0167-9473 |
School/Discipline: | School of Mathematical Sciences : Statistics |
Statement of Responsibility: | Qian Chen, Richard Gerlach, Zudi Lu |
Keywords: | Dynamic quantile; Asymmetric Laplace distribution; Dynamic skewness; Value-at-Risk; Expected shortfall; Back-testing |
Description: | 1st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics. |
Rights: | © 2010 Elsevier B.V. All rights reserved |
DOI: | 10.1016/j.csda.2010.06.018 |
Appears in Collections: | Statistics publications |
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