The Two-sided Weibull Distribution and Forecasting Financial Tail Risk

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Frontiers in VaR forecasting and backtesting (2016, background): “For example, Guermat and Harris (2001) propose it in the context of RiskMetrics while Chen and Gerlach (2013) propose a new distribution called asymmetric two-sided Weibull distribution that generalizes the asymmetric Laplace distribution previously proposed by Chen, Gerlach and Lu (2012) by…”