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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

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

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

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

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

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

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

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

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