Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting

DOI10.1002/FOR.2255zbMath1397.91598OpenAlexW1577954422MaRDI QIDQ4687339

Hai Huang, Zu-di Lu, Richard H. Gerlach

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2255

zbMATH Keywords

heavy tailsskewnessasymmetric Laplace distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

Related Items (5)

Conditional value-at-risk: semiparametric estimation and inference ⋮ Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment ⋮ Generalized value at risk forecasting ⋮ Semi-parametric expected shortfall forecasting in financial markets ⋮ A quasi-Bayesian model averaging approach for conditional quantile models

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