Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution

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dc.contributor.authorChen, Qianen
dc.contributor.authorGerlach, Richarden
dc.contributor.authorLu, Zudien
dc.contributor.schoolSchool of Mathematical Sciences : Statisticsen
dc.date.issued2012en
dc.description1st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics.en
dc.description.statementofresponsibilityQian Chen, Richard Gerlach, Zudi Luen
dc.identifier.citationComputational Statistics & Data Analysis, 2012; 56(11):3498–3516en
dc.identifier.doi10.1016/j.csda.2010.06.018en
dc.identifier.issn0167-9473en
dc.identifier.urihttp://hdl.handle.net/2440/74724
dc.language.isoenen
dc.publisherElsevier Science BVen
dc.rights© 2010 Elsevier B.V. All rights reserveden
dc.subjectDynamic quantile; Asymmetric Laplace distribution; Dynamic skewness; Value-at-Risk; Expected shortfall; Back-testingen
dc.titleBayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distributionen
dc.typeJournal articleen

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