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Items where Keyword is "Quantile regression" (Publications and Working Papers)

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Number of items: 9.

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Jeon, Jooyoung and Taylor, James (2013) Using Implied Volatility with CAViaR Models for Value at Risk Estimation. Journal of Forecasting, 32 (1). pp. 62-74. Link to full text available through this repository.
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T

Taylor, James (1999) Evaluating Volatility and Interval Forecasts. Journal of Forecasting, 18 (2). pp. 111-128. Link to full text available through this repository.
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Taylor, James (2007) Forecasting Supermarket Sales Using Exponentially Weighted Quantile Regression. European Journal of Operational Research, 178 (1). pp. 154-167. Link to full text available through this repository.
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Taylor, James (2017) Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution. Journal of Business and Economic Statistics.
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Taylor, James (2008) Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. Journal of Financial Econometrics, 6 (3). pp. 382-406. Link to full text available through this repository.
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Taylor, James and Buizza, Roberto (2004) Comparing Temperature Density Forecasts from GARCH and Atmospheric Models. Journal of Forecasting, 23 (5). pp. 337-355. Link to full text available through this repository.
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Taylor, James and Buizza, Roberto (2006) Density Forecasting for Weather Derivative Pricing. International Journal of Forecasting, 22 (1). pp. 29-42. Link to full text available through this repository.
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Taylor, James and Bunn, Derek (1999) Investigating Improvements in the Accuracy of Prediction Intervals for Combinations of Forecasts: A Simulation Study. International Journal of Forecasting, 15 (3). pp. 325-339. Link to full text available through this repository.
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Taylor, James and Jeon, Jooyoung (2015) Forecasting wind power quantiles using conditional kernel estimation. Renewable Energy, 80. pp. 370-379. Link to full text available through this repository.
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This list was generated on Mon Feb 17 12:42:40 2020 UTC.