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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data

Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202

Persistent link: https://www.econbiz.de/10012132379

Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution

Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10012176554

A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

Persistent link: https://www.econbiz.de/10014443194

Forecast combinations for value at risk and expected shortfall

Taylor, James W. - In: International journal of forecasting 36 (2020) 2, pp. 428-441

Persistent link: https://www.econbiz.de/10012415069

Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio

Taylor, James W. - In: Journal of banking & finance 140 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013463062

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Trucíos, Carlos; Taylor, James W. - 2021

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...

Persistent link: https://www.econbiz.de/10013242299

A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies

Trucíos, Carlos; Taylor, James W. - In: Journal of forecasting 42 (2023) 4, pp. 989-1007

Persistent link: https://www.econbiz.de/10014292894

A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies

Trucíos, Carlos; Taylor, James W. - 2022

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...

Persistent link: https://www.econbiz.de/10013298650