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Type: Journal article
Title: Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
Author: Chen, Qian
Gerlach, Richard
Lu, Zudi
Citation: Computational Statistics & Data Analysis, 2012; 56(11):3498–3516
Publisher: Elsevier Science BV
Issue Date: 2012
ISSN: 0167-9473
School/Discipline: School of Mathematical Sciences : Statistics
Statement of
Qian Chen, Richard Gerlach, Zudi Lu
Keywords: Dynamic quantile; Asymmetric Laplace distribution; Dynamic skewness; Value-at-Risk; Expected shortfall; Back-testing
Description: 1st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics.
Rights: © 2010 Elsevier B.V. All rights reserved
RMID: 0020100515
DOI: 10.1016/j.csda.2010.06.018
Appears in Collections:Statistics publications

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