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stat.ME2023
Generalised Covariances and Correlations
Tobias Fissler, Marc-Oliver Pohle
The covariance of two random variables measures the average joint deviations from their respective means. We generalise this well-known measure by replacing the means with other st…
econ.EM2023
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…