Narrow search
Showing 1 - 7 of 7
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Cover Image
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