most citedBayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures

2 citations · 2 across the 1 of their papers we have counts for

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1 paper

q-fin.RM2016★ 2 cited

Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures

Richard Gerlach, Chao Wang

A new model framework called Realized Conditional Autoregressive Expectile (Realized-CARE) is proposed, through incorporating a measurement equation into the conventional CARE mode…