3 citations · 13 across the 13 of their papers we have counts for
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q-fin.PM2021
Portfolio optimization with idiosyncratic and systemic risks for financial networks
Yajie Yang, Longfeng Zhao, Lin Chen +2
In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic…
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…
q-fin.RM2021
Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach
Giuseppe Storti, Chao Wang
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting.…