Asymmetric Laplace laws and modeling financial data

DOI10.1016/S0895-7177(01)00114-5zbMATH Open1002.60012MaRDI QIDQ1600523FDOQ1600523

Authors: Tomasz J. Kozubowski, Krzysztof Podgórski 

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

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zbMATH Keywords

Laplace distributioncompound distributioncurrency exchange ratesheavy tailed modeling

Mathematics Subject Classification ID

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

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Cited In (43)

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• Infinite divisibility of the spacings of a Kotz-Kozubowski-Podgórski generalized Laplace model
• Fast goodness-of-fit tests based on the characteristic function
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• 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
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• Bayesian variable selection and estimation in quantile regression using a quantile-specific prior
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• Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
• Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals
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• 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
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• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
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• On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
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• Operator geometric stable laws
• Goodness-of-fit tests for multivariate Laplace distributions
• Bayesian mode regression using mixtures of triangular densities
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• A time-series model using asymmetric Laplace distribution
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