Selected publications

Article

Meng, Xiaochun and Taylor, James W (2019) Estimating value-at-risk and expected shortfall using the intraday low and range data. European Journal of Operational Research. ISSN 0377-2217

Meng, Xiaochun and Taylor, James W (2018) An approximate long-memory range-based approach for value at risk estimation. International Journal of Forecasting, 34 (3). pp. 377-388. ISSN 0169-2070