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~accessRights:"restricted"
~person:"Gerlach, Richard"
~person:"Zhang, Xibin"
~subject:"Markov chain"
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Search: subject_exact:"Monte Carlo method"
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Markov chain
Monte Carlo simulation
9
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6
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6
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Gerlach, Richard
Zhang, Xibin
Tsionas, Efthymios G.
13
Li, Yong
7
Dimitrakopoulos, Stefanos
6
Lesage, James P.
4
Omori, Yasuhiro
4
Wang, Chao
4
Yu, Jun
4
Assaf, A. Georges
3
Chen, Cathy W. S.
3
Chib, Siddhartha
3
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3
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2
Asai, Manabu
2
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2
Azhar Mohamad
2
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2
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2
Brown, Garfield O.
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Buckley, Winston S.
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Casarin, Roberto
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Chen, Qian
2
Chen, Wilson Ye
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Donayre, Luiggi
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1
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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2
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
Saved in:
3
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
4
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:
5
Hypothesis testing based on a vector of statistics
King, Maxwell L.
;
Zhang, Xibin
;
Akram, Muhammad
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 425-455
Persistent link: https://www.econbiz.de/10012483400
Saved in:
6
Bayesian bandwidth estimation in nonparametric time-varying coefficient models
Cheng, Tingting
;
Gao, Jiti
;
Zhang, Xibin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012175865
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7
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
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8
A Bayesian sampling approach to measuring the price responsiveness of gasoline demand using a constrained partially linear model
Chen, Haotian
;
Smyth, Russell
;
Zhang, Xibin
- In:
Energy economics
67
(
2017
),
pp. 346-354
Persistent link: https://www.econbiz.de/10011897930
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