2 papers
stat.ME2021
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Carol Alexander, Michael Coulon, Yang Han +1
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with th…
stat.ME2020
Static and Dynamic Models for Multivariate Distribution Forecasts: Proper Scoring Rule Tests of Factor-Quantile vs. Multivariate GARCH Models
Carol Alexander, Yang Han
A plethora of static and dynamic models exist to forecast Value-at-Risk and other quantile-related metrics used in financial risk management. Industry practice tends to favour simp…