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https://hdl.handle.net/2440/74724
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DC Field | Value | Language |
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dc.contributor.author | Chen, Qian | en |
dc.contributor.author | Gerlach, Richard | en |
dc.contributor.author | Lu, Zudi | en |
dc.date.issued | 2012 | en |
dc.identifier.citation | Computational Statistics & Data Analysis, 2012; 56(11):3498–3516 | en |
dc.identifier.issn | 0167-9473 | en |
dc.identifier.uri | http://hdl.handle.net/2440/74724 | - |
dc.description | 1st issue of the Annals of Computational and Financial Econometrics. Sixth Special Issue on Computational Econometrics. | en |
dc.description.statementofresponsibility | Qian Chen, Richard Gerlach, Zudi Lu | en |
dc.language.iso | en | en |
dc.publisher | Elsevier Science BV | en |
dc.rights | © 2010 Elsevier B.V. All rights reserved | en |
dc.subject | Dynamic quantile; Asymmetric Laplace distribution; Dynamic skewness; Value-at-Risk; Expected shortfall; Back-testing | en |
dc.title | Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution | en |
dc.type | Journal article | en |
dc.contributor.school | School of Mathematical Sciences : Statistics | en |
dc.identifier.doi | 10.1016/j.csda.2010.06.018 | en |
Appears in Collections: | Statistics publications |
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