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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Gerlach, Richard"
~person:"Lunday, Brian J."
~subject:"ARCH model"
~subject:"Statistische Verteilung"
~subject:"Theorie"
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Chang, Kuang-Liang
Gerlach, Richard
Lunday, Brian J.
Tsionas, Efthymios G.
13
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9
Xu, Libo
8
Feinberg, Eugene A.
7
Ma, Feng
7
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5
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5
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5
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5
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5
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5
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5
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5
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5
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4
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4
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4
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3
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2
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2
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1
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ECONIS (ZBW)
15
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1
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
2
Improving defensive air battle management by solving a stochastic dynamic assignment problem via approximate dynamic programming
Liles, Joseph M.
;
Robbins, Matthew J.
;
Lunday, Brian J.
- In:
European journal of operational research : EJOR
305
(
2023
)
3
,
pp. 1435-1449
Persistent link: https://www.econbiz.de/10013499046
Saved in:
3
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
4
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
5
Approximate dynamic programming for the military aeromedical evacuation dispatching, preemption-rerouting, and redeployment problem
Jenkins, Phillip R.
;
Robbins, Matthew J.
;
Lunday, Brian J.
- In:
European journal of operational research : EJOR
290
(
2021
)
1
,
pp. 132-143
Persistent link: https://www.econbiz.de/10012435804
Saved in:
6
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
7
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
8
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
9
Approximate dynamic programming for the aeromedical evacuation dispatching problem : value function approximation utilizing multiple level aggregation
Robbins, Matthew J.
;
Jenkins, Phillip R.
;
Bastian, …
- In:
Omega : the international journal of management science
91
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012151709
Saved in:
10
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
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