research
∙
01/29/2021
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Proper scoring rules are commonly applied to quantify the accuracy of di...
share
research
∙
04/29/2020
Static and Dynamic Models for Multivariate Distribution Forecasts: Proper Scoring Rule Tests of Factor-Quantile vs. Multivariate GARCH Models
A plethora of static and dynamic models exist to forecast Value-at-Risk ...
research
∙
04/14/2020
Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness
Modelling multivariate systems is important for many applications in eng...
research
∙
08/28/2018
