Chao Wang

Chao Wang

University of Sydney - Sydney / Australia
Economics & Econometrics / Economics
AD Scientific Index ID: 5186762
person_outline Chao Wang's MOST POPULAR ARTICLES
1-) Forecasting risk via realized GARCH, incorporating the realized rangeR Gerlach, C WangQuantitative Finance 16 (4), 501-511, 2016482016
2-) Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measuresR Gerlach, C WangInternational Journal of Forecasting 36 (2), 489-506, 2020332020
3-) Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distributionC Wang, Q Chen, R GerlachQuantitative Finance 19 (6), 1017-1042, 2019212019
4-) Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatilityR Gerlach, D Walpole, C WangQuantitative Finance 17 (2), 199-215, 2017182017
5-) Nonparametric Expected Shortfall Forecasting Incorporating Weighted QuantilesG Storti, C WangInternational Journal of Forecasting. In press., 2021142021