Asymmetric Laplace laws and modeling financial data
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- scientific article; zbMATH DE number 1525329
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- 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
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- Modeling asset returns with alternative stable distributions*
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- The Variance Gamma Process and Option Pricing
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Cited in
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- 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
- 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
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- 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
- 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
- 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
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- 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
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