This paper concerns the forecasting of seasonal intraday time series. An extension of Holt-Winters exponential smoothing has been proposed that smoothes an intraday cycle and an intraweek cycle. A recently proposed exponential smoothing method involves smoothing a different intraday cycle for...

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

We study the estimation of the probability distribution of individual patient waiting times in an emergency department (ED). Our feature-rich modelling allows for dynamic updating and refinement of waiting time estimates as patient- and ED-specific information (e.g., patient condition, ED...

Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the literature. Among them, long-memory processes, procedures taking into account the presence of extreme observations, procedures that include more than a single regime, as well as...

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...