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The two-sided Weibull distribution and forecasting financial tail risk
Chen, Qian; Gerlach, Richard H. - In: International journal of forecasting 29 (2013) 4, pp. 541-547
Persistent link: https://www.econbiz.de/10010212495
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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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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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Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Chen, Qian; Weng, Xin - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 71-87
Persistent link: https://www.econbiz.de/10012122852
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The robustness of ARCH GARCH tests to first-order autocorrelation
Sullivan, Michael J.; Giles, David E. A. - 1993
Persistent link: https://www.econbiz.de/10000970178
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Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets
Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177
Persistent link: https://www.econbiz.de/10015179935
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Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets
Li, Yanan; Giles, David E. A. - 2013
Persistent link: https://www.econbiz.de/10010189084