Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Year of publication: |
2013
|
---|---|
Authors: | Gerlach, Richard ; Lu, Zu-di ; Huang, Hai |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 6, p. 534-550
|
Subject: | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis |
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