Asymmetric Laplace laws and modeling financial data
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Publication:1600523
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Cited in
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- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
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- The principle of social scaling
- Bayesian analysis of two-piece location-scale models under reference priors with partial information
- Generalized normal-Laplace AR process
- Linear asymmetric Laplace fuzzy information granule and its application in short-to-medium term prediction for financial time series
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Test of fit for a Laplace distribution against heavier tailed alternatives
- Analytic and asymptotic properties of multivariate generalized Linnik's probability densities
- On the Parameter Estimation of the Asymmetric Multivariate Laplace Distribution
- On the weak limit theorems for geometric summations of independent random variables together with convergence rates to asymmetric Laplace distributions
- The basic distributional theory for the product of zero mean correlated normal random variables
- Tail-thickness in terms of COV(\(X_{j}^{2}\),\(X_{p}^{2}\)) in the class of elliptical distributions.
- On the generalized lognormal distribution
- Extending the Fama and French model with a long term memory factor
- Testing symmetry under a skew Laplace model.
- Operator geometric stable laws
- Multitude of Laplace distributions
- A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution
- Application in stochastic volatility models of nonlinear regression with stochastic design
- Goodness-of-fit tests for multivariate Laplace distributions
- A note on power-law cross-correlated processes
- Exact likelihood inference for Laplace distribution based on type-II censored samples
- scientific article; zbMATH DE number 1525329 (Why is no real title available?)
- Bayesian mode regression using mixtures of triangular densities
- On Quantile‐based Asymmetric Family of Distributions: Properties and Inference
- Moderate deviations for estimators of financial risk under an asymmetric Laplace law
- Laplace random variables with application to price indices
- Bayesian variable selection and estimation in quantile regression using a quantile-specific prior
- A general approach to full-range tail dependence copulas
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- On bounds for the mode and median of the generalized hyperbolic and related distributions
- Robust estimation in multivariate heteroscedastic regression models with autoregressive covariance structures using EM algorithm
- Autoregressive processes with Pakes and geometric Pakes generalized Linnik marginals
- A mixed bivariate distribution with exponential and geometric marginals
- Time series models with asymmetric Laplace innovations
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