Similar Search Results

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

Tail Risk Forecasting Using Bayesian Realized Egarch Models

Tendenan, Vica; Gerlach, Richard H.; Wang, Chao - 2022

This paper develops a Bayesian framework for the realized exponential generalized autoregressive conditional heteroskedasticity (realized EGARCH) model and adopts a standardized Student-t and a standardized skewed Student-t distributions for the return equation. The Bayesian estimators show more...

Persistent link: https://www.econbiz.de/10014239179

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743

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

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

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

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

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

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

Measuring systemic risk in China : a new hybrid approach incorporating ensemble learning and risk spillover networks

Huo, Da; Shi, Yongdong; Wang, Chao; Wang, Lihan; Xing, Weize - In: Pacific-Basin finance journal 91 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015405089