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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
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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
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Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550
Persistent link: https://www.econbiz.de/10009789677