References
- Berkowitz , J. 2001 . Testing density forecasts, with applications to risk management . Journal of Business and Economic Statistics , 19 : 465 – 74 .
- Cappuccio , N. , Lubian , D. and Raggi , D. 2006 . Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model . Applied Financial Economics , 16 : 479 – 90 .
- Degiannakis , S. 2004 . Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model . Applied Financial Economics , 14 : 1333 – 42 .
- Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1006 .
- Fernandez , C. , Osiewalski , J. and Steel , M. F. 1995 . Modelling and inference with V-spherical distributions . Journal of the American Statistical Association , 90 : 1331 – 40 .
- Haas , M. , Mittnik , S. and Paolella , M. S. 2006 . Modelling and predicting market risk with Laplace–Gaussian mixture distributions . Applied Financial Economics , 16 : 1145 – 62 .
- Harris , R. D. , Kücüközmen , C. C. and Yilmaz , F. 2004 . Skewness in the conditional distribution of daily equity returns . Applied Financial Economics , 14 : 195 – 202 .
- Jayakumar , K. and Kuttykrishnan , A. P. 2007 . A time-series model using asymmetric Laplace distribution . Statistics & Probability Letters , 77 : 1636 – 40 .
- Jondeau , E. and Rockinger , M. 2003 . Conditional volatility, skewness, and kurtosis: existence persistence, and comovements . Journal of Economic Dynamics & Control , 27 : 1699 – 737 .
- Kearney , C. and Lynch , M. 2007 . Are international equity markets really asymmetric? . Applied Financial Economics , 17 : 399 – 411 .
- Komunjer , I. 2007 . Asymmetric power distribution: theory and applications to risk measurement . Journal of Applied Econometrics , 22 : 891 – 921 .
- Kotz , S. , Podgorski , K. and Kozubowski , T. 2001 . The Laplace Distribution and Generalizations: A Revisit with Application to Communication, Economics, Engineering and Finance , Birkhäuser : Boston .
- Kozubowski , T. J. and Podgorski , K. 2001 . Asymmetric Laplace laws and modeling financial data . Mathematical and Computer Modelling , 34 : 1003 – 21 .
- Rockinger , M. and Jondeau , E. 2002 . Entropy densities with an application to autoregressive conditional skewness and kurtosis . Journal of Econometrics , 106 : 119 – 42 .
- Trindade , A. A. and Zhu , Y. 2007 . Approximating the distributions of estimators of financial risk under an asymmetric Laplace law . Computational Statistics and Data Analysis , 51 : 3433 – 47 .