1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.RM2018
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.RM2017★ 1 cited
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…