Work

Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting

Year: 2020

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbaa002

Authors: Richard Gerlach, Chao Wang

Institution: The University of Sydney

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3030887667

FWCI: 2.409

Cites: 40

Cited by: 20

Related to: 10