BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Department of Economics | IP Paris - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Department of Economics | IP Paris
X-ORIGINAL-URL:https://econ.ip-paris.fr
X-WR-CALDESC:Events for Department of Economics | IP Paris
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20230326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20231029T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20231109T113000
DTEND;TZID=Europe/Helsinki:20231109T113000
DTSTAMP:20260410T203647
CREATED:20230725T133242Z
LAST-MODIFIED:20231103T153658Z
UID:15105-1699529400-1699529400@econ.ip-paris.fr
SUMMARY:Jordi LLORENS-TERRAZAS (UPF Barcelona) "An Oracle Inequality for Multivariate Dynamic Quantile Forecasting."
DESCRIPTION:Finance & Financial Econometrics : \nTime: 10.30 am\nDate: 09th of Novembre 2023\nRoom 3001 \nJordi LLORENS-TERRAZAS (UPF Barcelona) “An Oracle Inequality for Multivariate Dynamic Quantile Forecasting” \nAbstract : 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 in the literature. This inequality is used to establish that the predictor that minimizes the in-sample average check loss achieves the best out-of-sample performance within its class at a near optimal rate\, even when the model is fully misspecified. An empirical application to backtesting global Growth-at-Risk shows that a combination of the generalized autoregressive conditionally heteroscedastic model and the vector autoregression for Value-at-Risk performs best out-of-sample in terms of the check loss. \n\nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://econ.ip-paris.fr/event/jordi-llorens-terrazas-upf-barcelona-t-b-a/
CATEGORIES:Finance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR