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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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Semi-parametric financial risk forecasting incorporating multiple realized measures
Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837
Persistent link: https://www.econbiz.de/10015196974
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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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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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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184