27 citations · 31 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…