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subject:"Monte Carlo simulation"
~person:"Wang, Chao"
~type_genre:"Article in journal"
~type_genre:"Thesis"
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Search: subject_exact:"Markov-Kette"
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Monte Carlo simulation
Markov chain
5
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5
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Wang, Chao
Tsionas, Efthymios G.
17
Li, Yong
9
Chib, Siddhartha
8
Gerlach, Richard
8
Chen, Cathy W. S.
7
Yu, Jun
7
Dimitrakopoulos, Stefanos
6
Frühwirth-Schnatter, Sylvia
6
Koop, Gary
5
Omori, Yasuhiro
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Shevchenko, Pavel V.
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Zhang, Xibin
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Dijk, Herman K. van
4
Kakamu, Kazuhiko
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Kalli, Maria
4
Lesage, James P.
4
Nakatsuma, Teruo
4
Assaf, A. Georges
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Damien, Paul
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Fulop, Andras
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Griffin, Jim E.
3
Ignatieva, Ekaterina
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Kahalé, Nabil
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Kohn, Robert
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Kolkiewicz, Adam W.
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Koopman, Siem Jan
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Liu, Jun S.
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Men, Zhongxian
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Misra, Sanjog
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O'Donnell, Christopher John
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Peters, Gareth W.
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Rodrigues, Paulo Jorge Maurício
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Seeger, Norman
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Solibakke, Per Bjarte
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Verhofen, Michael
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Wang, Nianling
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Wirjanto, Tony S.
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
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:
3
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:
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:
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