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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
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Nonparametric expected shortfall forecasting incorporating weighted quantiles
Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
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Forecasting stock price volatility : new evidence from the GARCH-MIDAS model
Wang, Lu; Ma, Feng; Liu, Jing; Yang, Lin - In: International journal of forecasting 36 (2020) 2, pp. 684-694
Persistent link: https://www.econbiz.de/10012415334