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20162021
most citedA Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework

3 citations · 9 across the 11 of their papers we have counts for

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q-fin.ST2019

Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series

Nick James, Roman Marchant, Richard Gerlach +1

Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral te…