Cathy W. S. Chen : Citation Profile


Are you Cathy W. S. Chen?

Feng Chia University

11

H index

11

i10 index

255

Citations

RESEARCH PRODUCTION:

46

Articles

11

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 12
   Journals where Cathy W. S. Chen has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 30 (10.53 %)

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   Permalink: http://citec.repec.org/pch735
   Updated: 2018-09-15    RAS profile: 2018-05-12    
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Relations with other researchers


Works with:

Lin, Edward (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Cathy W. S. Chen.

Is cited by:

Ravazzolo, Francesco (8)

Liu, Xiaochun (7)

Caporin, Massimiliano (7)

Pelizzon, Loriana (7)

serra, teresa (6)

GUEGAN, Dominique (5)

Allen, David (5)

Ruiz, Esther (5)

Rigobon, Roberto (5)

CHARLES, Amelie (4)

Gebka, Bartosz (4)

Cites to:

Bollerslev, Tim (54)

Engle, Robert (31)

Jagannathan, Ravi (29)

Chiang, Thomas (15)

Chou, Ray (14)

Teräsvirta, Timo (13)

Diebold, Francis (12)

McAleer, Michael (9)

Granger, Clive (9)

Andersen, Torben (8)

Zakoian, Jean-Michel (8)

Main data


Where Cathy W. S. Chen has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis9
Physica A: Statistical Mechanics and its Applications4
Computational Statistics4
Mathematics and Computers in Simulation (MATCOM)4
International Journal of Forecasting3
Journal of Forecasting3
Computational Economics3
Journal of the Royal Statistical Society Series C2
The North American Journal of Economics and Finance2
Journal of Forecasting2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of Sydney Business School, Discipline of Business Analytics5

Recent works citing Cathy W. S. Chen (2018 and 2017)


YearTitle of citing document
2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018Asymmetric response to PMI announcements in Chinas stock returns. (2018). Wang, Yingli ; Yang, Xiaoguang. In: Papers. RePEc:arx:papers:1806.04347.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018Volatility Modeling with Leverage Effect under Laplace Errors. (2018). Xia, Weixuan ; Weixuan, Xia ; Zhengjun, Jiang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:1:p:29:n:4.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2017Macroeconomic Variables, Leverage, Stock Returns and Stock Return Volatility. (2017). Marozva, Godfrey ; Magwedere, Margaret Rutendo. In: Acta Universitatis Danubius. OEconomica. RePEc:dug:actaec:y:2017:i:4:p:264-288.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017Efficient modelling and forecasting with range based volatility models and its application. (2017). Chan, Jennifer ; Allen, David ; Ng, Kooi Huat ; Peiris, Shelton. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:448-460.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Quantile regression forecasts of inflation under model uncertainty. (2017). Korobilis, Dimitris. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:11-20.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2017Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods. (2017). Lahmiri, Salim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:405-414.

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2018Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry. (2018). Chang, Carolyn W ; Yu, Min-Teh ; Li, Xiaodan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:273-284.

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2017The nexus between financial integration and real economy: Solow-growth model concept. (2017). Saifur, MD ; Shahari, Farihana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1244-1253.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2017The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT). (2017). Muela, Sonia Benito ; Navarro, Angeles M ; Lopez-Martin, Carmen. In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:11:p:88-102.

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2017Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs: A Hellinger Distance Measure Research. (2017). Lee, Tsun-Siou ; Tsai, Chui-Chun . In: Journal of Economics and Management. RePEc:jec:journl:v:13:y:2017:i:1:p:53-81.

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2017Bayesian analysis of multiple thresholds autoregressive model. (2017). Pan, Jiazhu ; Liu, Jinshan ; Xia, Qiang . In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:1:d:10.1007_s00180-016-0673-3.

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2017Time-varying copula models in the shipping derivatives market. (2017). Shi, Wenming ; Wang, Ganggang ; Yang, Zhongzhi ; Li, Kevin X. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1146-9.

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2018Forecasting inflation in post-oil boom years: A case for regime switches?. (2018). Rahimov, Vugar ; Mammadov, Fuad ; Huseynov, Salman ; Adigozalov, Shaig ; Ahmadov, Vugar. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:2:d:10.1007_s12197-017-9410-1.

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2018The threshold GARCH model: estimation and density forecasting for financial returns. (2018). Cai, Yuzhi ; Stander, Julian . In: Working Papers. RePEc:swn:wpaper:2018-23.

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2018Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification. (2018). Ftiti, Zied ; JAWADI, Fredj ; Hachicha, Nejib ; Namouri, Hela. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:5:p:559-573.

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Cathy W. S. Chen is editor of


Journal
Journal of Economics and Management

Works by Cathy W. S. Chen:


YearTitleTypeCited
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets In: Journal of Business & Economic Statistics.
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article27
2009Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets.(2009) In: Working Papers.
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paper
2011Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets.(2011) In: Journal of Business & Economic Statistics.
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2016Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach In: The Japanese Economic Review.
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article1
2006Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors In: Journal of the Royal Statistical Society Series C.
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article3
2017Bayesian causality test for integer-valued time series models with applications to climate and crime data In: Journal of the Royal Statistical Society Series C.
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article0
2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range In: Working Papers in Economics.
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paper9
2012Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range.(2012) In: International Journal of Forecasting.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range.(2011) In: Econometric Institute Research Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: KIER Working Papers.
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2011Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range.(2011) In: Documentos de Trabajo del ICAE.
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paper
1997Detection of additive outliers in bilinear time series In: Computational Statistics & Data Analysis.
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article4
1999A unified approach to estimating population size for a births only model In: Computational Statistics & Data Analysis.
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2006Comparison of nonnested asymmetric heteroskedastic models In: Computational Statistics & Data Analysis.
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article12
2008Volatility forecasting using threshold heteroskedastic models of the intra-day range In: Computational Statistics & Data Analysis.
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article11
2009Bayesian causal effects in quantiles: Accounting for heteroscedasticity In: Computational Statistics & Data Analysis.
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article9
2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
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article1
2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
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article2
2014Bayesian estimation of smoothly mixing time-varying parameter GARCH models In: Computational Statistics & Data Analysis.
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2016Generalized Poisson autoregressive models for time series of counts In: Computational Statistics & Data Analysis.
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2017Pair trading based on quantile forecasting of smooth transition GARCH models In: The North American Journal of Economics and Finance.
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2018Predicting failure risk using financial ratios: Quantile hazard model approach In: The North American Journal of Economics and Finance.
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2017Nonparametric tolerance limits for pair trading In: Finance Research Letters.
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2006On a threshold heteroscedastic model In: International Journal of Forecasting.
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2012Forecasting volatility with asymmetric smooth transition dynamic range models In: International Journal of Forecasting.
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article5
2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model In: Journal of Economics and Business.
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article29
2008An empirical evaluation of fat-tailed distributions in modeling financial time series In: Mathematics and Computers in Simulation (MATCOM).
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2008Testing for nonlinearity in mean and volatility for heteroskedastic models In: Mathematics and Computers in Simulation (MATCOM).
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article1
2009Optimal dynamic hedging via copula-threshold-GARCH models In: Mathematics and Computers in Simulation (MATCOM).
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2009The impact of structural breaks on the integration of the ASEAN-5 stock markets In: Mathematics and Computers in Simulation (MATCOM).
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2005Long-term dependence with asymmetric conditional heteroscedasticity in stock returns In: Physica A: Statistical Mechanics and its Applications.
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2006Asymmetric responses of international stock markets to trading volume In: Physica A: Statistical Mechanics and its Applications.
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2006Estimating the Number of HIV-infected gay sauna patrons in Taipei area In: Physica A: Statistical Mechanics and its Applications.
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2006The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model In: Physica A: Statistical Mechanics and its Applications.
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1998A Bayesian analysis of generalized threshold autoregressive models In: Statistics & Probability Letters.
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2015Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management In: Discussion paper series.
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2003Subset threshold autoregression In: Journal of Forecasting.
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2005A Bayesian threshold nonlinearity test for financial time series In: Journal of Forecasting.
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2009Volatility forecasting with double Markov switching GARCH models In: Journal of Forecasting.
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2012Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics.
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2013Bayesian Unit Root Test in Double Threshold Heteroskedastic Models In: Computational Economics.
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2017On Asymmetric Market Model with Heteroskedasticity and Quantile Regression In: Computational Economics.
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2007Asymmetric Return and Volatility Responses to Composite News from Stock Markets In: Multinational Finance Journal.
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2016Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range In: Journal of Financial Econometrics.
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2011Bayesian subset selection for threshold autoregressive moving-average models In: Computational Statistics.
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2013Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity In: Computational Statistics.
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2013Threshold variable selection of asymmetric stochastic volatility models In: Computational Statistics.
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2016Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach In: Computational Statistics.
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2014Semi-parametric Expected Shortfall Forecasting In: Working Papers.
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2014Bayesian Assessment of Dynamic Quantile Forecasts In: Working Papers.
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2016Bayesian Assessment of Dynamic Quantile Forecasts.(2016) In: Journal of Forecasting.
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2011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis In: Working Papers.
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2012Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis.(2012) In: Journal of Forecasting.
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2012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets In: Working Papers.
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2011Multi-regime nonlinear capital asset pricing models In: Quantitative Finance.
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2014Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations In: Quantitative Finance.
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2012Statistical Estimation of Portfolios for Dependent Financial Returns In: ULB Institutional Repository.
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