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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
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Evaluating volatility and interval forecasts
Taylor, James W. - In: Journal of forecasting 18 (1999) 2, pp. 111-128
Persistent link: https://www.econbiz.de/10001368220
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Evaluating quantile-bounded and expectile-bounded interval forecasts
Taylor, James W. - In: International journal of forecasting 37 (2021) 2, pp. 800-811
Persistent link: https://www.econbiz.de/10012792870
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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
Persistent link: https://www.econbiz.de/10009758719
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Forecasting electricity smart meter data using conditional kernel density estimation
Arora, Siddarth; Taylor, James W. - In: Omega : the international journal of management science 59 (2016), pp. 47-59
Persistent link: https://www.econbiz.de/10011439737
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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
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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
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Short-term density forecasting of wave energy using ARMA-GARCH models and kernel density estimation
Jeon, Jooyoung; Taylor, James W. - In: International journal of forecasting 32 (2016) 3, pp. 991-1004
Persistent link: https://www.econbiz.de/10011621973