Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
Date
2012
Authors
Chen, Qian
Gerlach, Richard
Lu, Zudi
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Computational Statistics & Data Analysis, 2012; 56(11):3498–3516
Statement of Responsibility
Qian Chen, Richard Gerlach, Zudi Lu
Conference Name
Abstract
School/Discipline
School of Mathematical Sciences : Statistics
Dissertation Note
Provenance
Description
1st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics.
Access Status
Rights
© 2010 Elsevier B.V. All rights reserved