Bayesian Semi-Parametric Realized Conditional...

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

Gerlach, Richard, Wang, Chao
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Journal:
Journal of Financial Econometrics
DOI:
10.1093/jjfinec/nbaa002
Date:
May, 2020
File:
PDF, 3.16 MB
2020
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