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Xiaohan (Dylan) Xue
Xiaohan (Dylan) Xue
Norwich Business School, University of East Anglia
Verified email at uea.ac.uk - Homepage
Title
Cited by
Cited by
Year
Forecasting risk measures using intraday data in a generalized autoregressive score framework
E Lazar, X Xue
International Journal of Forecasting 36 (3), 1057-1072, 2020
352020
Loss function-based change point detection in risk measures
E Lazar, S Wang, X Xue
European Journal of Operational Research 310 (1), 415-431, 2023
22023
Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
L Horváth, E Lazar, Z Liu, S Wang, X Xue
Available at SSRN 4722996, 2024
2024
Less disagreement, better forecasts: Adjusted risk measures in the energy futures market
N Zhang, Y Gong, X Xue
Journal of Futures Markets 43 (10), 1332-1372, 2023
2023
When MIDAS Meets LASSO: The Wisdom of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Y Luo, X Xue, M Izzeldin
Available at SSRN 4342139, 2023
2023
Essays on market risk measures
X Xue
University of Reading, 2022
2022
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Articles 1–6