Asymmetric Laplace laws and modeling financial data

Probability distributions: general theory (60E05) Statistical methods; economic indices and measures (91B82) Characterization and structure theory of statistical distributions (62E10)

Cites Work

Cited In (41)

The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
Application in stochastic volatility models of nonlinear regression with stochastic design
A note on power-law cross-correlated processes
Loss-based approach to two-piece location-scale distributions with applications to dependent data
Infinite divisibility of the spacings of a Kotz-Kozubowski-Podgórski generalized Laplace model
Fast goodness-of-fit tests based on the characteristic function
Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law
Exact likelihood inference for Laplace distribution based on type-II censored samples
On bounds for the mode and median of the generalized hyperbolic and related distributions
An asymmetric multivariate weibull distribution
The snap, crackle and pop of solar flares explained
Tail-thickness in terms of COV(\(X_{j}^{2}\),\(X_{p}^{2}\)) in the class of elliptical distributions.
Bayesian variable selection and estimation in quantile regression using a quantile-specific prior
Extending the Fama and French model with a long term memory factor
Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals
Title not available (Why is that?)
Bayesian analysis of two-piece location-scale models under reference priors with partial information
A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
A link between two-sided power and asymmetric Laplace distributions: with applications to mean and variance approximations
Generalized normal-Laplace AR process
Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
Test of fit for a Laplace distribution against heavier tailed alternatives
A mixed bivariate distribution with exponential and geometric marginals
Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
Linear asymmetric Laplace fuzzy information granule and its application in short-to-medium term prediction for financial time series
On the generalized lognormal distribution
Testing symmetry under a skew Laplace model.
The principle of social scaling
Laplace random variables with application to price indices
On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
Multitude of Laplace distributions
Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
Operator geometric stable laws
Goodness-of-fit tests for multivariate Laplace distributions
Bayesian mode regression using mixtures of triangular densities
A general approach to full-range tail dependence copulas
A time-series model using asymmetric Laplace distribution
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
The basic distributional theory for the product of zero mean correlated normal random variables
On Quantile‐based Asymmetric Family of Distributions: Properties and Inference

This page was built for publication: Asymmetric Laplace laws and modeling financial data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1600523)