Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (Q1927130)
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scientific article; zbMATH DE number 6119767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution |
scientific article; zbMATH DE number 6119767 |
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Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (English)
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30 December 2012
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dynamic quantile
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asymmetric Laplace distribution
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dynamic skewness
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value-at-risk
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expected shortfall
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back-testing
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