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subject:"ARCH model"
~person:"Chen, Cathy W. S."
~person:"Lönnbark, Carl"
~subject:"Statistical distribution"
~type:"article"
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ARCH model
Statistical distribution
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13
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13
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11
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11
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9
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8
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Chen, Cathy W. S.
Lönnbark, Carl
Račev, Svetlozar T.
10
Fabozzi, Frank J.
9
Degiannakis, Stavros
8
Gerlach, Richard
8
Chinhamu, Knowledge
7
Francq, Christian
7
Giot, Pierre
7
Hoga, Yannick
7
Landsman, Zinoviy
7
Liu, Hung-Chun
7
Nadarajah, Saralees
7
Paolella, Marc S.
7
Su, Jung-bin
7
Zakoïan, Jean-Michel
7
Ardia, David
6
Bali, Turan G.
6
Bee, Marco
6
Chlebus, Marcin
6
Furman, Edward
6
Hammoudeh, Shawkat
6
Kang, Sang Hoon
6
Karmakar, Madhusudan
6
Kim, Young Shin
6
Petrella, Lea
6
Su, Jianxi
6
Taylor, James W.
6
Tiwari, Aviral Kumar
6
Weiß, Gregor
6
Zarangas, Leonidas P.
6
Dempsey, Michael
5
Guégan, Dominique
5
Huang, Chun-Kai
5
Härdle, Wolfgang
5
Mao, Tiantian
5
McAleer, Michael
5
McMillan, David G.
5
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5
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5
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Finance research letters
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2
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1
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
12
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1
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
2
Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.
;
Hsu, Hsiao-Yun
;
Watanabe, Toshiaki
- In:
Finance research letters
51
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
Saved in:
3
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
4
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
5
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
6
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
Saved in:
7
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
8
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
- In:
International journal of forecasting
28
(
2012
)
3
,
pp. 557-574
Persistent link: https://www.econbiz.de/10009658352
Saved in:
9
Value at Risk and Expected Shortfall for large portfolios
Lönnbark, Carl
;
Holmberg, Ulf
;
Brännäs, Kurt
- In:
Finance research letters
8
(
2011
)
2
,
pp. 59-68
Persistent link: https://www.econbiz.de/10009301309
Saved in:
10
Bayesian time-varying quantile forecasting for value-at-risk in financial markets
Gerlach, Richard H.
;
Chen, Cathy W. S.
;
Chan, Nancy Y. C.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 481-492
Persistent link: https://www.econbiz.de/10009355672
Saved in:
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