Narrow search
Showing 1 - 9 of 9
Cover Image
Estimating value at risk and expected shortfall using expectiles
Taylor, James W. - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10003687929
Cover Image
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
Persistent link: https://www.econbiz.de/10009758719
Cover Image
Using exponentially weighted quantile regression to estimate value at risk and expected shortfall
Taylor, James W. - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 382-406
Persistent link: https://www.econbiz.de/10003748064
Cover Image
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
Cover Image
An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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