Pages that link to "Item:Q1927130"
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The following pages link to Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (Q1927130):
Displaying 27 items.
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Asymptotically efficient estimation of the conditional expected shortfall (Q433233) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521) (← links)
- Unfolded GARCH models (Q1657508) (← links)
- Inference for grouped data with a truncated skew-Laplace distribution (Q1942901) (← links)
- A parsimonious parametric model for generating margin requirements for futures (Q1991253) (← links)
- A generalized error distribution copula-based method for portfolios risk assessment (Q2159132) (← links)
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (Q2203392) (← links)
- Two-sided exponential-geometric distribution: inference and volatility modeling (Q2319488) (← links)
- Asymmetric dynamics between uncertainty and unemployment flows in the United States (Q2700534) (← links)
- Estimation methods for expected shortfall (Q2879025) (← links)
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (Q4555071) (← links)
- RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES (Q4563748) (← links)
- Forecasting risk via realized GARCH, incorporating the realized range (Q5001146) (← links)
- Semi-parametric expected shortfall forecasting in financial markets (Q5106839) (← links)
- Forecasting trade durations via ACD models with mixture distributions (Q5120735) (← links)
- A generalized class of skew distributions and associated robust quantile regression models (Q5175764) (← links)
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
- CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS (Q5384843) (← links)
- Markov switching quantile autoregression (Q6064121) (← links)
- Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures (Q6574659) (← links)
- Semiparametric GARCH via Bayesian Model Averaging (Q6617768) (← links)
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (Q6634847) (← links)
