Chao Wang

Self-Excited Threshold Poisson Autoregression

Chao Wang, Heng Liu, Jianfeng Yao et al. · Journal of the American Statistical Association · 2014 · 101 citations

Forecasting risk via realized GARCH, incorporating the realized range

Richard Gerlach, Chao Wang · Quantitative Finance · 2016 · 47 citations

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

Richard Gerlach, Chao Wang · Journal of Financial Econometrics · 2020 · 18 citations

Forecasting Methodology, Engineering, Markov Chain Monte Carlo +17

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

Chao Wang, Qian Chen, Richard Gerlach · Quantitative Finance · 2018 · 15 citations

Volatility Modeling, Engineering, Asset Pricing +14

Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility

Richard Gerlach, Declan Walpole, Chao Wang · Quantitative Finance · 2016 · 14 citations

Volatility Modeling, Engineering, Dynamic Volatility +16