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Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
Gerlach, Richard; Lu, Zudi; Huang, Hai - In: Journal of Forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10011006254
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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W.S.; Gerlach, Richard; Lin, Edward M. H.; … - In: Journal of Forecasting 31 (2012) 8, pp. 661-687
Persistent link: https://www.econbiz.de/10011006259