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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

A quantile regression neural network approach to estimating the conditional density of multiperiod returns

Taylor, James W. - In: Journal of forecasting 19 (2000) 4, pp. 299-311

Persistent link: https://www.econbiz.de/10001504631

A quantile regression approach to estimating the distribution of multiperiod returns

Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78

Persistent link: https://www.econbiz.de/10001432473

Density forecasting of intraday call center arrivals using models based on exponential smoothing

Taylor, James W. - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 534-549

Persistent link: https://www.econbiz.de/10009525268

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

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

Coherent probabilistic forecasts for hierarchical time series

Ben Taieb, Souhaib; Taylor, James W.; Hyndman, Rob J. - 2017

Persistent link: https://www.econbiz.de/10011781966

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