Value at Risk Linear Exponent (VARLINEX) Forecasts.
The VARLINEX (value at risk linear exponent) forecasting procedure is presented in this paper, which explicitly adjusts the forecasts when the loss functions of the forecaster are asymmetric. The theory of order statistics is applied to derive the VARLINEX forecasts and their corresponding confidenc...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2003
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