Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting-Reference-Cited by-同舟云学术

Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting

Published:2013-06-25 Issue:6 Volume:32 Page:534-550
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Gerlach Richard¹,Lu Zudi²,Huang Hai³

Affiliation:

1. Discipline of Business Analytics; The University of Sydney Business School; Australia

2. Section of Statistics; School of Mathematical Sciences, University of Adelaide; Australia

3. Industrial and Commercial Bank of China; Beijing; China

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2255/fullpdf

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4. Tests for skewness, kurtosis, and normality for time series data;Bai;Journal of Business and Economic Statistics,2005

5. Evaluating value-at-risk models with desk-level data;Berkowitz;Management Science,2012

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