Search Results for author: H. Rangika Iroshani Peiris

Found 1 papers, 0 papers with code

Semi-parametric financial risk forecasting incorporating multiple realized measures

no code implementations15 Feb 2024 H. Rangika Iroshani Peiris, Chao Wang, Richard Gerlach, Minh-Ngoc Tran

A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed.

Bayesian Inference

Cannot find the paper you are looking for? You can Submit a new open access paper.