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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

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 strategic predictive distribution for tests of probabilistic calibration

Taylor, James W. - In: International journal of forecasting 36 (2020) 4, pp. 1380-1388

Persistent link: https://www.econbiz.de/10012546789

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

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

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

Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity

Abramova, Ekaterina; Bunn, Derek W. - 2019

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

Persistent link: https://www.econbiz.de/10014107616

Higher moments in the fundamental specification of electricity forward prices

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078

Persistent link: https://www.econbiz.de/10013490922