research
∙
04/20/2023
The Estimation Risk in Extreme Systemic Risk Forecasts
Systemic risk measures have been shown to be predictive of financial cri...
share
research
∙
06/28/2022
Dynamic Co-Quantile Regression
The popular systemic risk measure CoVaR (conditional Value-at-Risk) is w...
research
∙
08/04/2021
Extremal Dependence-Based Specification Testing of Time Series
We propose a specification test for conditional location–scale models ba...
research
∙
06/21/2021
On Testing Equal Conditional Predictive Ability Under Measurement Error
Loss functions are widely used to compare several competing forecasts. H...
research
∙
04/20/2021