Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
type: Item
instance of: scholarly article
title: Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
zbMATH Open document ID: 1161.62423
author: A. Alexandre Trindade
author: Yun Zhu
published in: Computational Statistics and Data Analysis
publication date: 2009-05-29T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 5559489
zbMATH Keywords: value-at-risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: saddlepoint approximation
zbMATH Keywords: order statistic
zbMATH Keywords: exchange rate
MaRDI profile type: Publication
full work available at URL: j.csda.2006.08.004
OpenAlex ID: W2071298209
cites work: Q3331506
cites work: Q3855961
cites work: Coherent measures of risk
cites work: Laplace approximations for hypergeometric functions with matrix argument
cites work: Saddlepoint Approximations in Statistics
cites work: Order Statistics
cites work: General Saddlepoint Approximations with Applications to L Statistics
cites work: Q3413299
cites work: Q2723273
cites work: Asymmetric Laplace laws and modeling financial data
cites work: Q4512517
cites work: Saddle point approximation for the distribution of the sum of independent random variables
cites work: Q3998476
cites work: Some remarks on the value-at-risk and the conditional value-at-risk
cites work: Generalized deviations in risk analysis
cites work: The asymptotic distribution of the trimmed mean
cites work: Small-Sample Confidence Intervals
cites work: Probabilistic constrained optimization. Methodology and applications
DOI: 10.1016/J.CSDA.2006.08.004
description: scientific article; zbMATH DE number 5559489