3 citations · 13 across the 13 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
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…