Photo of Xiaochun MengXiaochun Meng
Temp Tutor (University of Sussex Business School)

Selected publications

Article

Alexander, Carol, Han, Yang and Meng, Xiaochun (2022) Static and dynamic models for multivariate distribution forecasts: proper scoring rule tests of factor-quantile vs. multivariate GARCH models. International Journal of Forecasting. pp. 2-19. ISSN 0169-2070

Alexander, C, Coulon, M, Han, Y and Meng, X (2022) Evaluating the discrimination ability of proper multi-variate scoring rules. Annals of Operations Research. ISSN 0254-5330

Meng, Xiaochun and Taylor, James W (2022) Comparing probabilistic forecasts of the daily minimum and maximum temperature. International Journal of Forecasting, 38 (1). pp. 267-281. ISSN 0169-2070

Alexander, Carol, Meng, Xiaochun and Wei, Wei (2021) Targeting Kollo skewness with random orthogonal matrix simulation. European Journal of Operational Research. ISSN 0377-2217

Meng, Xiaochun and Taylor, James W (2020) Estimating value-at-risk and expected shortfall using the intraday low and range data. European Journal of Operational Research, 280 (1). pp. 191-202. 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