Probability forecasts for binary outcomes, often referred to as probabil...
This paper illustrates the benefits of sampling intraday returns in intr...
We characterize the full classes of M-estimators for semiparametric mode...
Given a statistical functional of interest such as the mean or median, a...
The popular systemic risk measure CoVaR (conditional Value-at-Risk) is w...
Probability predictions from binary regressions or machine learning meth...
This technical report proposes an alternative to the Hosmer-Lemeshow (HL...
Loss functions are widely used to compare several competing forecasts.
H...
Parameter estimation via M- and Z-estimation is broadly considered to be...
We propose forecast encompassing tests for the Expected Shortfall (ES)
j...
A probability forecast or probabilistic classifier is reliable or calibr...
Rational respondents to economic surveys may report as a point forecast ...
In this paper, we introduce new forecast encompassing tests for the risk...