3 citations · 9 across the 11 of their papers we have counts for
3 papers · 1 filter
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…
Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution
Chao Wang, Qian Chen, Richard Gerlach
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Furt…
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…