Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting (Q4687339)
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scientific article; zbMATH DE number 6951855
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| English | Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting |
scientific article; zbMATH DE number 6951855 |
Statements
Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting (English)
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11 October 2018
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asymmetric Laplace distribution
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skewness
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heavy tails
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0.8175433874130249
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0.8101118803024292
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0.7962334156036377
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0.7947739958763123
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0.7891315221786499
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