James W. Taylor

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

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

Number of pages: 25 Posted: 18 Apr 2013
School of Mathematics and Statistics, The University of Sydney, Edith Cowan University, Edith Cowan University - School of Accounting, Finance and Economics, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 326 (90,518)

Abstract:

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Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

2.

Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 382-406, 2008
Posted: 17 Jun 2008
James W. Taylor
University of Oxford - Said Business School

Abstract:

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C22, C53, G10, exponential weighting, financial risk, kernel smoothing, kernel density estimation, quantile regression