Asymmetric Laplace laws and modeling financial data
From MaRDI portal
(Redirected from Publication:1600523)
Recommendations
- scientific article; zbMATH DE number 1525329
- A multivariate and asymmetric generalization of Laplace distribution
- On the weak limit theorems for geometric summations of independent random variables together with convergence rates to asymmetric Laplace distributions
- A time-series model using asymmetric Laplace distribution
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
Cites work
- scientific article; zbMATH DE number 3770749 (Why is no real title available?)
- scientific article; zbMATH DE number 193483 (Why is no real title available?)
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1525329 (Why is no real title available?)
- scientific article; zbMATH DE number 1388959 (Why is no real title available?)
- scientific article; zbMATH DE number 4197687 (Why is no real title available?)
- scientific article; zbMATH DE number 3393603 (Why is no real title available?)
- A Problem of Zolotarev and Analogs of Infinitely Divisible and Stable Distributions in a Scheme for Summing a Random Number of Random Variables
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A multivariate Linnik distribution
- Modeling asset returns with alternative stable distributions*
- Semi - α - laplace distributions
- The Variance Gamma Process and Option Pricing
- The theory of geometric stable distributions and its use in modeling financial data
Cited in
(50)- The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
- Application in stochastic volatility models of nonlinear regression with stochastic design
- The variance-gamma distribution: a review
- 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
- Signed-perturbed sums estimation of ARX systems: exact coverage and strong consistency
- Skewed slash censored quantile regression
- Time series models with asymmetric Laplace innovations
- 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
- The snap, crackle and pop of solar flares explained
- An asymmetric multivariate weibull distribution
- 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
- Bayesian inference for Laplace distribution based on complete and censored samples with illustrations
- Bayesian fractional polynomial approach to quantile regression and variable selection with application in the analysis of blood pressure among US adults
- 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
- Moderate deviations for estimators of financial risk under an asymmetric Laplace law
- 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
- Generalized normal-Laplace AR process
- A link between two-sided power and asymmetric Laplace distributions: with applications to mean and variance approximations
- Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
- Test of fit for a Laplace distribution against heavier tailed alternatives
- Radially geometric stable distributions and processes
- Stein's method for asymmetric Laplace approximation
- A mixed bivariate distribution with exponential and geometric marginals
- On the generalized lognormal distribution
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Testing symmetry under a skew Laplace model.
- Linear asymmetric Laplace fuzzy information granule and its application in short-to-medium term prediction for financial time series
- The principle of social scaling
- scientific article; zbMATH DE number 1525329 (Why is no real title available?)
- Multitude of Laplace distributions
- Laplace random variables with application to price indices
- On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Goodness-of-fit tests for multivariate Laplace distributions
- Bayesian mode regression using mixtures of triangular densities
- Operator geometric stable laws
- A general approach to full-range tail dependence copulas
- A time-series model using asymmetric Laplace distribution
- On the weak limit theorems for geometric summations of independent random variables together with convergence rates to asymmetric Laplace distributions
- 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)
