Showing 2020Show all
3 papers · 1 filter
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…
stat.CO2020
Targetting Kollo Skewness with Random Orthogonal Matrix Simulation
Carol Alexander, Xiaochun Meng, Wei Wei
Modelling multivariate systems is important for many applications in engineering and operational research. The multivariate distributions under scrutiny usually have no analytic or…
math.ST2020
Scores for Multivariate Distributions and Level Sets
Xiaochun Meng, James W. Taylor, Souhaib Ben Taieb +1
Forecasts of multivariate probability distributions are required for a variety of applications. Scoring rules enable the evaluation of forecast accuracy, and comparison between for…