"Bayesian Value-at-Risk and expected shortfall forecasting via the ..."

Qian Chen, Richard Gerlach, Zudi Lu (2012)

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DOI: 10.1016/J.CSDA.2010.06.018

access: closed

type: Journal Article

metadata version: 2021-01-04

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Qian Chen, Richard Gerlach, Zudi Lu:
Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution. Comput. Stat. Data Anal. 56(11): 3498-3516 (2012)

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