27 citations · 31 across the 10 of their papers we have counts for
11 papers
Time preference effects in forecasting
Yannick Hoga, Niklas V. Lehmann
We study the evaluation of forecasts regarding the timing and occurrence of uncertain future events, such as volcanic eruptions, the start of a war or the beginning of a recession.…
Systemic Risk Surveillance
Timo Dimitriadis, Yannick Hoga
Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for syst…
Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series
Yannick Hoga, Christian Schulz
This paper proposes valid inference tools, based on self-normalization, in time series expected shortfall regressions and, as a corollary, also in quantile regressions. Extant meth…
How to Compare Copula Forecasts?
Tobias Fissler, Yannick Hoga
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be el…
Persistence-Robust Break Detection in Predictive CoVaR Regressions
Yannick Hoga
Forecasting risk (as measured by quantiles) and systemic risk (as measured by Adrian and Brunnermeiers's (2016) CoVaR) is important in economics and finance. However, past research…
Regressions under Adverse Conditions
Timo Dimitriadis, Yannick Hoga
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allo…
The Estimation Risk in Extreme Systemic Risk Forecasts
Yannick Hoga
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. I…
Dynamic CoVaR Modeling and Estimation
Timo Dimitriadis, Yannick Hoga
The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting…
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…
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…
Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
Tobias Fissler, Yannick Hoga
Systemic risk measures such as CoVaR, CoES and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elici…