Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
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Publication:1927130
DOI10.1016/j.csda.2010.06.018zbMath1254.91750OpenAlexW1975701367MaRDI QIDQ1927130
Qi'an Chen, Richard H. Gerlach, Zu-di Lu
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.06.018
value-at-riskasymmetric Laplace distributionexpected shortfallback-testingdynamic quantiledynamic skewness
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Economic time series analysis (91B84)
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