A time-series model using asymmetric Laplace distribution

Asymmetric Laplace distributions have received much attention in recent years. It can be used in modeling currency exchange rate, interest rate, stock price changes, etc. But no time-series models with asymmetric Laplace marginal are yet developed. Present work aims at developing autoregressive models with asymmetric Laplace marginal distribution.

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Year of publication:	2007
Authors:	Jayakumar, K. ; Kuttykrishnan, A.P.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 16, p. 1636-1640
Publisher:	Elsevier
Keywords:	Autoregressive process Asymmetric Laplace distribution Geometric stable distribution Geometric infinite divisibility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005143405