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accessRights:"restricted"
~person:"Leiva-Leon, Danilo"
~person:"Wang, Chao"
~subject:"Kapitaleinkommen"
~subject:"Portfolio selection"
~subject:"Theory"
~subject:"Zeitreihenanalyse"
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Leiva-Leon, Danilo
Wang, Chao
Tsionas, Efthymios G.
13
Gupta, Rangan
11
Serletis, Apostolos
8
Cavicchioli, Maddalena
7
Chang, Kuang-Liang
7
Elliott, Robert J.
7
Feinberg, Eugene A.
7
Xu, Libo
7
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6
Lee, Hsiang-Tai
6
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5
Dimitrakopoulos, Stefanos
5
Goyal, Vineet
5
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5
Houtum, Geert-Jan van
5
Kang, Kyu Ho
5
Li, Yong
5
Lunday, Brian J.
5
Maheu, John M.
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Siu, Tak Kuen
5
Arts, Joachim
4
Balcilar, Mehmet
4
Chauvet, Marcelle
4
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4
Cui, Lirong
4
D'Amico, Guglielmo
4
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4
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4
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Lesage, James P.
4
Ohnishi, Masamitsu
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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
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:
3
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
Saved in:
4
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:
5
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:
6
Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre
;
Leiva-Leon, Danilo
- In:
Economics letters
157
(
2017
),
pp. 45-49
Persistent link: https://www.econbiz.de/10011847300
Saved in:
7
Dynamics of global business cycle interdependence
Ductor, Lorenzo
;
Leiva-Leon, Danilo
- In:
Journal of international economics
102
(
2016
),
pp. 110-127
Persistent link: https://www.econbiz.de/10011655555
Saved in:
8
Real vs. nominal cycles : a multistate Markov-switching bi-factor approach
Leiva-Leon, Danilo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
5
,
pp. 557-580
Persistent link: https://www.econbiz.de/10010461144
Saved in:
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