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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

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

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

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

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

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