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stat.ME2017
Semiparametric GARCH via Bayesian model averaging
Wilson Ye Chen, Richard H. Gerlach
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assum…
stat.ME2017
Dynamic Quantile Function Models
Wilson Ye Chen, Gareth W. Peters, Richard H. Gerlach +1
Motivated by the need for effectively summarising, modelling, and forecasting the distributional characteristics of intra-daily returns, as well as the recent work on forecasting h…