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A quantile regression approach to estimating the distribution of multiperiod returns

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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

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Using CAViaR models with implied volatility for value-at-risk estimation

Jeon, Jooyoung; Taylor, James W. - In: Journal of forecasting 32 (2013) 1, pp. 62-74

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Return-Volatility Relationship : Insights from Linear and Non-Linear Quantile Regression

Allen, David E. - 2013

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...

Persistent link: https://www.econbiz.de/10013083138

An approximate long-memory range-based approach for value at risk estimation

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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

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Structural analysis of electricity demand and supply interactions

Fezzi, Carlo; Bunn, Derek W. - In: Oxford bulletin of economics and statistics 72 (2010) 6, pp. 827-856

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Model-based comparisons of pool and bilateral markets for electricity

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A stochastic latent moment model for electricity price formation

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