Information Flows Between the U.S. and China’s Agricultural Commodity Futures– Based on VAR-BEKK-skew-t model, accepted by Emerging Market, Finance and Trade, Janurary, 2017, Chen, Q., and Weng, X.
The two-sided Weibull distribution and forecasting financial tail risk, International Journal of Forecasting, Volume 29, Issue 4, October–December 2013, Pages 527-540
Qian Chen, Richard H. Gerlach
Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution, Computational Statistics and Data Analysis: Special Issue on Computational and Financial Econometrics, 56(11): 3498-3516 (2012), November 1, 2012
Authors: Qian Chen, Richard Gerlach, Zudi Lu
Forecasting Tail Risk via a Partitioned Distribution, Qian Chen, Richard Gerlach