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01/29/2021
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Proper scoring rules are commonly applied to quantify the accuracy of di...
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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 ...
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04/14/2020
Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness
Modelling multivariate systems is important for many applications in eng...
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08/28/2018