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~person:"Gerlach, Richard"
~subject:"Risk"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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Value-at-Risk
17
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10
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10
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9
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9
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Gerlach, Richard
Wang, Ruodu
42
Härdle, Wolfgang
33
Stoja, Evarist
32
Daníelsson, Jón
25
Vanduffel, Steven
24
Rosazza Gianin, Emanuela
23
Dowd, Kevin
22
Polanski, Arnold
22
Vries, Casper G. de
22
Fabozzi, Frank J.
21
Huschens, Stefan
21
Rüschendorf, Ludger
21
Embrechts, Paul
20
Righi, Marcelo Brutti
20
Dhaene, Jan
17
McAleer, Michael
17
Brandtner, Mario
16
Mao, Tiantian
16
Paolella, Marc S.
16
Stoyanov, Stoyan V.
16
Bernard, Carole
15
Cai, Jun
15
Caporin, Massimiliano
15
Boonen, Tim J.
14
Liu, Haiyan
14
Račev, Svetlozar T.
14
Tsanakas, Andreas
14
Cheung, Ka Chun
13
Furman, Edward
13
Kürsten, Wolfgang
13
Landsman, Zinoviy
13
Puccetti, Giovanni
13
Albrecht, Peter
12
Lucas, André
12
Mittnik, Stefan
12
Yoshiba, Toshinao
12
Bali, Turan G.
11
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11
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11
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International journal of forecasting
3
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3
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2
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1
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1
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1
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ECONIS (ZBW)
13
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1
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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
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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
Variational Bayes for assessment of dynamic quantile forecasts
Gerlach, Richard
;
Abeywardana, Sachin
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1385-1402
Persistent link: https://www.econbiz.de/10011622172
Saved in:
8
Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard
;
Chen, Cathy W. S.
;
Lin, Edward M. H.
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
Saved in:
9
Forecasting
value-at-risk
using nonlinear regression quantiles and the intraday range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619366
Saved in:
10
Forecasting
value-at-risk
using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
-
2011
Persistent link: https://www.econbiz.de/10009011936
Saved in:
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