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

International journal of forecasting, 2020-04, Vol.36 (2), p.489-506

2020

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The two-sided Weibull distribution and forecasting financial tail risk

International journal of forecasting, 2013-10, Vol.29 (4), p.527-540

2013

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Semiparametric GARCH via Bayesian Model Averaging

Journal of business & economic statistics, 2021-03, Vol.39 (2), p.437-452

2021

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Bayesian tail‐risk forecasting using realized GARCH

Applied stochastic models in business and industry, 2017-03, Vol.33 (2), p.213-236

2017

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Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution

Computational statistics & data analysis, 2012-11, Vol.56 (11), p.3498-3516

2012

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Stock Ranking Prediction Using List-wise Approach and Node Embedding Technique

IEEE access, 2021-01, Vol.9, p.1-1

2021

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

Quantitative finance, 2019-06, Vol.19 (6), p.1017-1042

2019

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Dynamic quantile function models

Quantitative finance, 2022-09, Vol.22 (9), p.1665-1691

2022

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Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets

Journal of business & economic statistics, 2011-10, Vol.29 (4), p.481-492

2011

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Estimating quantile families of loss distributions for non-life insurance modelling via L-moments

Risks (Basel), 2016-06, Vol.4 (2), p.1-41

2016

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A generalized class of skew distributions and associated robust quantile regression models

Canadian journal of statistics, 2014-12, Vol.42 (4), p.579-596

2014

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Semi-parametric expected shortfall forecasting in financial markets

Journal of statistical computation and simulation, 2017-04, Vol.87 (6), p.1084-1106

2017

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Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion

Computers & industrial engineering, 2020-04, Vol.142, p.106380, Article 106380

2020

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On the Certainty of an Inductive Inference: The Binomial Case

Statistical science, 2024-05, Vol.39 (2)

2024

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Forecasting risk via realized GARCH, incorporating the realized range

Quantitative finance, 2016-04, Vol.16 (4), p.501-511

2016

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Modelling and forecasting stock price movements with serially dependent determinants

Risks (Basel), 2018-06, Vol.6 (2), p.1-22

2018

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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Journal of forecasting, 2012-12, Vol.31 (8), p.661-687

2012

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Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters

Bayesian analysis, 2009-01, Vol.4 (1)

2009

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Bayesian estimation of smoothly mixing time-varying parameter GARCH models

Computational statistics & data analysis, 2014-08, Vol.76, p.194-209

2014

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A generalized class of skew distributions and associated robust quantile regression models

Canadian journal of statistics, 2014-12, Vol.42 (4), p.579-596

2014

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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Quantitative finance, 2023-02, Vol.23 (2), p.309-334

2023

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Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models

Statistics and computing, 2008-12, Vol.18 (4), p.391-408

2008

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Falling and explosive, dormant, and rising markets via multiple-regime financial time series models

Applied stochastic models in business and industry, 2010-01, Vol.26 (1), p.28-49

2010

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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Economic modelling, 2022-02, Vol.107, p.105701, Article 105701

2022

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Variational Bayes for assessment of dynamic quantile forecasts

International journal of forecasting, 2016-10, Vol.32 (4), p.1385-1402

2016

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

The two-sided Weibull distribution and forecasting financial tail risk

Semiparametric GARCH via Bayesian Model Averaging

Bayesian tail‐risk forecasting using realized GARCH

Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution

Stock Ranking Prediction Using List-wise Approach and Node Embedding Technique

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

Dynamic quantile function models

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets

Estimating quantile families of loss distributions for non-life insurance modelling via L-moments

A generalized class of skew distributions and associated robust quantile regression models

Semi-parametric expected shortfall forecasting in financial markets

Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion

On the Certainty of an Inductive Inference: The Binomial Case

Forecasting risk via realized GARCH, incorporating the realized range

Modelling and forecasting stock price movements with serially dependent determinants

Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters

Bayesian estimation of smoothly mixing time-varying parameter GARCH models

A generalized class of skew distributions and associated robust quantile regression models

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models

Falling and explosive, dormant, and rising markets via multiple-regime financial time series models

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Variational Bayes for assessment of dynamic quantile forecasts

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