57 citations · 58 across the 4 of their papers we have counts for
5 papers
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…
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…
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…
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…
A Joint Quantile and Expected Shortfall Regression Framework
Timo Dimitriadis, Sebastian Bayer
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall (ES) of a response variable given a set of covariates. This regression…