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

Chen, QianGerlach, RichardLu, Zudi2013-01-072013-01-072012Computational Statistics & Data Analysis, 2012; 56(11):3498–35160167-9473http://hdl.handle.net/2440/747241st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics.en© 2010 Elsevier B.V. All rights reservedDynamic quantile; Asymmetric Laplace distribution; Dynamic skewness; Value-at-Risk; Expected shortfall; Back-testingBayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distributionJournal article002010051510.1016/j.csda.2010.06.0182-s2.0-77954686528