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accessRights:"restricted"
~person:"Shi, Yanlin"
~person:"Wang, Chao"
~subject:"Kapitaleinkommen"
~subject:"Portfolio selection"
~subject:"Theory"
~subject:"Zeitreihenanalyse"
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Kapitaleinkommen
Portfolio selection
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Markov chain
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11
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6
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Shi, Yanlin
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
Casarin, Roberto
6
Lee, Hsiang-Tai
6
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5
Dimitrakopoulos, Stefanos
5
Goyal, Vineet
5
Guérin, Pierre
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
Creemers, Stefan
4
Cui, Lirong
4
D'Amico, Guglielmo
4
Dufays, Arnaud
4
Gerlach, Richard
4
Guidolin, Massimo
4
Leiva-Leon, Danilo
4
Lesage, James P.
4
Ohnishi, Masamitsu
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Yang, Hailiang
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Yang, Qiao
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Finance research letters
2
Quantitative finance
2
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Journal of financial econometrics
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ECONIS (ZBW)
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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
News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
Saved in:
4
Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing
;
Fu, Tong
;
Shi, Yanlin
;
Wang, Zili
- In:
Finance research letters
40
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
Saved in:
5
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:
6
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:
7
Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Shi, Yanlin
;
Ho, Kin-Yip
;
Liu, Wai-man
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 291-312
Persistent link: https://www.econbiz.de/10011625119
Saved in:
8
Long memory and regime switching : a simulation study on the Markov regime-switching ARFIMA model
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 189-204
Persistent link: https://www.econbiz.de/10011585562
Saved in:
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