Model diagnostics and forecast evaluation are closely related tasks, with the former concerning in-sample goodness (or lack) of fit and the latter addressing predictive performance out-of-sample. We review the ubiquitous setting in which forecasts are cast in the form of quantiles or...

We study the estimation and prediction of the risk measure Value at Risk for Cryptocurrencies. Using Generalized Random Forests (GRF) (Athey et al., 2019) that can be adapted to specifically fit the framework of quantile prediction, we show their superior performance over other established...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a...

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of an...

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...