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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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Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011
Persistent link: https://www.econbiz.de/10009011936
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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Forecasting value-at-risk using nonlinear regression quantiles and the intraday range
Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009619366
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Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard; Chen, Cathy W. S. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
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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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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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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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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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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