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We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of the kernel function makes explicit the user's priorities for model performance. The class...
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This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … data so they are associated with changes in the volatility of the shocks hitting the macroeconomy. Second, we advance a new …
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