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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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Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li; Walker, Stephen G.; Damien, Paul; Bunn, Derek W. - In: Quantitative finance 22 (2022) 8, pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Robust and consistent estimation of generators in credit risk
Reis, Gonçalo dos; Smith, Greig - In: Quantitative finance 18 (2018) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10011911257
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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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
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Dynamic quantile function models
Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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Election predictions are arbitrage-free : response to Taleb : letter to the editors
Clayton, Aubrey - In: Quantitative finance 19 (2019) 11, pp. 1771-1774
Persistent link: https://www.econbiz.de/10012194825