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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

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

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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

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

The two-sided Weibull distribution and forecasting financial tail risk

Chen, Qian; Gerlach, Richard H. - In: International Journal of Forecasting 29 (2013) 4, pp. 527-540

A two-sided Weibull is developed for modelling the conditional financial return distribution, for the purpose of forecasting tail risk measures. For comparison, a range of conditional return distributions are combined with four volatility specifications in order to forecast the tail risk in...

Persistent link: https://www.econbiz.de/10010709415

Does exchange rate management affect the causality between exchange rates and oil prices? : evidence from oil-exporting countries

Lv, Xin; Lien, Da-hsiang Donald; Chen, Qian; Yu, Chang - In: Energy economics 76 (2018), pp. 325-343

Persistent link: https://www.econbiz.de/10011976671

The extreme-value dependence between the crude oil price and Chinese stock markets

Chen, Qian; Lv, Xin - In: International review of economics & finance : IREF 39 (2015), pp. 121-132

Persistent link: https://www.econbiz.de/10011572414

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

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

Some properties of absolute returns as a proxy for volatility

Giles, David E. A. - In: Applied financial economics letters 4 (2008) 4/6, pp. 347-350

Persistent link: https://www.econbiz.de/10003807778