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A time-series model using asymmetric Laplace distribution

Author

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  • Jayakumar, K.
  • Kuttykrishnan, A.P.

Abstract

Asymmetric Laplace distributions have received much attention in recent years. It can be used in modeling currency exchange rate, interest rate, stock price changes, etc. But no time-series models with asymmetric Laplace marginal are yet developed. Present work aims at developing autoregressive models with asymmetric Laplace marginal distribution.

Suggested Citation

  • Jayakumar, K. & Kuttykrishnan, A.P., 2007. "A time-series model using asymmetric Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 77(16), pages 1636-1640, October.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:16:p:1636-1640
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    References listed on IDEAS

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    1. Samuel Kotz & Tomasz Kozubowski & Krzysztof Podgórski, 2002. "Maximum Likelihood Estimation of Asymmetric Laplace Parameters," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(4), pages 816-826, December.
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    Cited by:

    1. Cathy W. S. Chen & Mike K. P. So & Thomas C. Chiang, 2016. "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Springer, vol. 67(1), pages 96-124, March.
    2. Kozubowski, Tomasz J. & Podgórski, Krzysztof, 2010. "Random self-decomposability and autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1606-1611, November.
    3. Mahmood Ul Hassan & Pär Stockhammar, 2016. "Fitting probability distributions to economic growth: a maximum likelihood approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1583-1603, July.

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