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

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...

Persistent link: https://www.econbiz.de/10010326227

Density forecasting for the efficient balancing of the generation and consumption of electricity

Taylor, James W. - In: International journal of forecasting 22 (2006) 4, pp. 707-724

Persistent link: https://www.econbiz.de/10003385855

Return-volatility relationship : insights from linear and non-linear quantile regression

Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009724826

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

Volatility forecasting with smooth transition exponential smoothing

Taylor, James W. - In: International journal of forecasting 20 (2004) 2, pp. 273-286

Persistent link: https://www.econbiz.de/10002033481

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

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

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

Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing

Liu, Min; Taylor, James W.; Choo, Wei Chong - In: Economic modelling 93 (2020), pp. 651-659

Persistent link: https://www.econbiz.de/10012430324