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Paolo GORGI (Amsterdam University) “Conditional score residuals and diagnostic analysis of serial dependence in time series models”
Finance & Financial Econometrics : Time: 10.00 am Date: 09th of Novembre 2023 Room 3001 Paolo GIORGI (Amsterdam University) "Conditional score residuals and diagnostic analysis of serial dependence in time series models" Abstract : This paper introduces conditional score residuals and it provides a general framework for the diagnostic analysis of time series models. Conditional […]
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Jordi LLORENS-TERRAZAS (UPF Barcelona) “An Oracle Inequality for Multivariate Dynamic Quantile Forecasting.”
Finance & Financial Econometrics : Time: 11.00 am Date: 09th of Novembre 2023 Room 3001 Jordi LLORENS-TERRAZAS (UPF Barcelona) "An Oracle Inequality for Multivariate Dynamic Quantile Forecasting" Abstract : I derive an oracle inequality for a family of possibly misspecified multivariate conditional autoregressive quantile models. The family includes standard specifications for (nonlinear) quantile prediction proposed […]
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