Chen, Qian, Gerlach, Richard and Lu, Zudi (2012) Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution. Computational Statistics & Data Analysis, 56 (11), 3498-3516. (doi:10.1016/j.csda.2010.06.018).
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Published date: 2012
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Mathematical Sciences
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Local EPrints ID: 360463
URI: http://eprints.soton.ac.uk/id/eprint/360463
ISSN: 0167-9473
PURE UUID: ee66bf37-2f54-41e4-aa13-6a8903036d4c
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Date deposited: 10 Dec 2013 11:43
Last modified: 15 Mar 2024 03:49
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Author:
Qian Chen
Author:
Richard Gerlach
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