James W. Taylor

University of Oxford - Said Business School

Park End Street

Oxford, OX1 1HP

Great Britain

SCHOLARLY PAPERS

5

DOWNLOADS

974

SSRN CITATIONS

12

CROSSREF CITATIONS

0

Scholarly Papers (5)

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 Business & Law, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, University of Oxford - Said Business School and University of Southampton - School of Management
Downloads 434 (128,354)
Citation 5

Abstract:

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

2.

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

Number of pages: 33 Posted: 01 Mar 2022 Last Revised: 03 Nov 2022
Carlos Trucíos and James W. Taylor
University of Campinas (UNICAMP) - Department of Statistics and University of Oxford - Said Business School
Downloads 262 (221,329)
Citation 1

Abstract:

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digital assets, forecast combining, model misspecification, outliers, risk measures, structural breaks.

3.

Probabilistic Forecasting of Patient Waiting Times in an Emergency Department

Number of pages: 33 Posted: 23 Jun 2020
Siddharth Arora, James W. Taylor and Ho-Yin Mak
University of Oxford - Said Business School, University of Oxford - Said Business School and University of Oxford - Said Business School
Downloads 158 (352,504)
Citation 1

Abstract:

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machine learning, quantile regression forest, managing patient-flow

4.

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Number of pages: 22 Posted: 02 Feb 2021
Carlos Trucíos and James W. Taylor
University of Campinas (UNICAMP) - Department of Statistics and University of Oxford - Said Business School
Downloads 120 (437,760)
Citation 9

Abstract:

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digital assets, model misspecification, outliers, risk measures, structural breaks, volatility

5.

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