Yannick Hoga

MaRDI QIDQ511998zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models Journal of Business and Economic Statistics	2024-11-08	Paper
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability Journal of Business and Economic Statistics	2024-10-28	Paper
Extremal Dependence-Based Specification Testing of Time Series Journal of Business and Economic Statistics	2024-03-06	Paper
Extremal Dependence-Based Specification Testing of Time Series Journal of Business and Economic Statistics	2024-03-06	Paper
On Testing Equal Conditional Predictive Ability Under Measurement Error Journal of Business and Economic Statistics	2024-03-05	Paper
Testing for changes in (extreme) VaR Econometrics Journal	2022-08-02	Paper
Quantifying the data-dredging bias in structural break tests Statistical Papers	2022-04-07	Paper
Where does the tail begin? An approach based on scoring rules Econometric Reviews	2022-03-04	Paper
Extending the limits of backtesting via the `vanishing \(p\)'-approach Journal of Time Series Analysis	2019-10-18	Paper
A structural break test for extremal dependence in \(\beta\)-mixing random vectors Biometrika	2018-12-10	Paper
Detecting tail risk differences in multivariate time series Journal of Time Series Analysis	2018-09-28	Paper
Change point tests for the tail index of \(\beta\)-mixing random variables Econometric Theory	2017-09-15	Paper
Monitoring multivariate time series Journal of Multivariate Analysis	2017-02-23	Paper
Sequential monitoring of the tail behavior of dependent data Journal of Statistical Planning and Inference	2016-12-22	Paper

Research outcomes over time

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