| 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 | 36 | 2020 |
| 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 | 2 | 2023 |
| 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 |
Shixuan WangAssociate Professor in Economics, University of Reading在 reading.ac.uk 的电子邮件经过验证
