2 papers
stat.ME2021
Extremal Dependence-Based Specification Testing of Time Series
Yannick Hoga
We propose a specification test for conditional location--scale models based on extremal dependence properties of the standardized residuals. We do so comparing the left-over seria…
econ.EM2021
On Testing Equal Conditional Predictive Ability Under Measurement Error
Yannick Hoga, Timo Dimitriadis
Loss functions are widely used to compare several competing forecasts. However, forecast comparisons are often based on mismeasured proxy variables for the true target. We introduc…