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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

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

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 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

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

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

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

A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies

Trucíos, Carlos; Taylor, James W. - 2022

Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the literature. Among them, long-memory processes, procedures taking into account the presence of extreme observations, procedures that include more than a single regime, as well as...

Persistent link: https://www.econbiz.de/10013298650

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

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