Approximating the distributions of estimators of financial risk under an asymmetric Laplace law

DOI10.1016/J.CSDA.2006.08.004zbMath1161.62423OpenAlexW2071298209MaRDI QIDQ1019977

Yun Zhu, A. Alexandre Trindade

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.004

zbMATH Keywords

saddlepoint approximationorder statisticvalue-at-riskexchange rateexpected shortfall

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Inference for grouped data with a truncated skew-Laplace distribution ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Time series models with asymmetric Laplace innovations ⋮ Estimation for Stochastic Models Driven by Laplace Motion ⋮ Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law ⋮ Estimation methods for expected shortfall

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• General Saddlepoint Approximations with Applications to L Statistics
• Saddle point approximation for the distribution of the sum of independent random variables
• Order Statistics
• Saddlepoint Approximations in Statistics
• Probabilistic constrained optimization. Methodology and applications

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