8 citations · 15 across the 10 of their papers we have counts for
4 papers · 1 filter
Simultaneous Inference Bands for Autocorrelations
Uwe Hassler, Marc-Oliver Pohle, Tanja Zahn
Sample autocorrelograms typically come with significance (non-rejection) bands for the null hypothesis of no temporal correlation. These bands have three shortcomings. First, they…
Testing Quantile Forecast Optimality
Jack Fosten, Daniel Gutknecht, Marc-Oliver Pohle
Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations. This paper proposes…
Score-based calibration testing for multivariate forecast distributions
Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts. However, PIT-based calibration…
Forecasting under Long Memory and Nonstationarity
Uwe Hassler, Marc-Oliver Pohle
Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse…