Approximating the distributions of estimators of financial risk under an asymmetric Laplace law

DOI10.1016/j.csda.2006.08.004zbMath1161.62423OpenAlexW2071298209MaRDI QIDQ1019977

Yun Zhu, A. Alexandre Trindade

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.004

zbMATH Keywords

saddlepoint approximationorder statisticvalue-at-riskexchange rateexpected shortfall

Mathematics Subject Classification ID

Related Items (7)

Inference for grouped data with a truncated skew-Laplace distribution ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Time series models with asymmetric Laplace innovations ⋮ Estimation for Stochastic Models Driven by Laplace Motion ⋮ Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law ⋮ Estimation methods for expected shortfall

Cites Work

• Asymmetric Laplace laws and modeling financial data
• Laplace approximations for hypergeometric functions with matrix argument
• Generalized deviations in risk analysis
• The asymptotic distribution of the trimmed mean
• Coherent Measures of Risk
• Small-Sample Confidence Intervals
• General Saddlepoint Approximations with Applications to L Statistics
• Saddle point approximation for the distribution of the sum of independent random variables
• Order Statistics
• Saddlepoint Approximations in Statistics
• Probabilistic constrained optimization. Methodology and applications
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