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~accessRights:"restricted"
~person:"Chen, Cathy W. S."
~person:"Gerlach, Richard"
~subject:"Markov chain"
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Chen, Cathy W. S.
Gerlach, Richard
Tsionas, Efthymios G.
13
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6
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Omori, Yasuhiro
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Azhar Mohamad
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
2
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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3
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
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4
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
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5
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
6
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
7
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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