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

Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
0167-9473
3498-3516
Chen, Qian
236e868a-2826-4bcf-839e-628342169296
Gerlach, Richard
f5ad042f-74d6-4f5e-bafa-810f7f105983
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Chen, Qian
236e868a-2826-4bcf-839e-628342169296
Gerlach, Richard
f5ad042f-74d6-4f5e-bafa-810f7f105983
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95

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).

Record type: Article

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Published date: 2012
Organisations: Mathematical Sciences

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Local EPrints ID: 360463
URI: https://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: 18 Jul 2017 03:12

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Contributors

Author: Qian Chen
Author: Richard Gerlach
Author: Zudi Lu

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