3 citations · 9 across the 11 of their papers we have counts for
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q-fin.RM2018★ 3 cited
A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework
Chao Wang, Richard Gerlach, Qian Chen
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The f…
q-fin.RM2018
Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures
Richard Gerlach, Chao Wang
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynami…
stat.ML2018
Fighting Accounting Fraud Through Forensic Data Analytics
Maria Jofre, Richard Gerlach
Accounting fraud is a global concern representing a significant threat to the financial system stability due to the resulting diminishing of the market confidence and trust of regu…