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Chao Wang · Study

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Chao Wang

4 works· latest 2020· 1 institutionscluster: provisionalORCID 0000-0001-5693-9971

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i104

Citations128

Works here4

16

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Most cited in this library

Forecasting risk via realized GARCH, incorporating the realized range2016 · 49 citations
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures2019 · 44 citations
Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting2020 · 18 citations
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution2018 · 17 citations

Works

4 shown

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

Journal of Financial Econometrics·2020·2 authors

18citations

Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures

International Journal of Forecasting·2019·2 authors·Open access

44citations

Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

Quantitative Finance·2018·3 authors

17citations

Forecasting risk via realized GARCH, incorporating the realized range

Quantitative Finance·2016·2 authors·Open access

49citations