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subject:"ARCH model"
~person:"Hoga, Yannick"
~subject:"Multivariate distribution"
~subject:"Statistical distribution"
~type:"article"
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Hoga, Yannick
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Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick
;
Demetrescu, Matei
- In:
Management science : journal of the Institute for …
69
(
2023
)
5
,
pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
Saved in:
2
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
Saved in:
3
Where does the tail begin? : an approach based on scoring rules
Hoga, Yannick
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 579-601
Persistent link: https://www.econbiz.de/10012195423
Saved in:
4
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
5
Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
Saved in:
6
Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
Saved in:
7
Testing for changes in (extreme) VaR
Hoga, Yannick
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 23-51
Persistent link: https://www.econbiz.de/10011719962
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