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~isPartOf:"Computational Statistics & Data Analysis"
~language:"und"
~subject:"Dynamic quantile"
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Bayesian
Value-at-Risk
and expected shortfall forecasting via the asymmetric Laplace distribution
Chen, Qian
;
Gerlach, Richard
;
Lu, Zudi
- In:
Computational Statistics & Data Analysis
56
(
2012
)
11
,
pp. 3498-3516
A parametric approach to estimating and forecasting
Value-at-Risk
(VaR) and expected shortfall (ES) for a …
Persistent link: https://www.econbiz.de/10010617658
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