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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.RM2021

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Chao Wang, Richard Gerlach

This paper proposes an innovative threshold measurement equation to be employed in a Realized-GARCH framework. The proposed framework incorporates a nonlinear threshold regression…