Xiaohan Xue

University of Reading - ICMA Centre

University of Reading,Henley Business School

Whiteknights

Reading, Berkshire RG6 6AH

United Kingdom

  • University of Reading - ICMA Centre

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“  I'm currently working on risk measure estimation, financial econometrics, and empirical asset pricing.  ”

  • University of Reading - ICMA Centre

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Scholarly Papers (1)

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Forecasting Risk Measures Using Intraday Data in a Generalized Autoregressive Score (GAS) Framework

International Journal of Forecasting, Vol. 36, No. 3, 2020
Number of pages: 32 Posted: 13 Jun 2019 Last Revised: 28 Dec 2020
Emese Lazar and Xiaohan Xue
University of Reading - ICMA Centre and University of Reading - ICMA Centre
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Abstract:

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Value-at-Risk, Expected Shortfall, Generalized Autoregressive Score (GAS) Dynamics, Realized Variance, Intraday Data, Risk Forecasting