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~accessRights:"restricted"
~person:"Dijk, Herman K. van"
~person:"Gerlach, Richard"
~person:"Račev, Svetlozar T."
~subject:"Statistical distribution"
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Dijk, Herman K. van
Gerlach, Richard
Račev, Svetlozar T.
Landsman, Zinoviy
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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
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Hoogerheide, Lennart
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Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
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pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
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Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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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
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