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BEGIN:VEVENT
DTSTAMP:20260503T004422Z
DTSTART;VALUE=DATE-TIME:20240311T140000
DTEND;VALUE=DATE-TIME:20240311T153000
SUMMARY:Econometrics Seminar - Jordi Llorens Terrazas (Surrey)
TZID:Europe/London
UID:20240311-8a17841a8af5770a018aff1a0c26780a@warwick.ac.uk
CREATED:20231212T170225Z
DESCRIPTION:Title (provisional): An Oracle Inequality for Multivariate Dy
 namic 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 (nonli
 near) quantile prediction proposed in the literature. This inequality is
  used to establish that the predictor that minimizes the in-sample avera
 ge check loss achieves the best out-of-sample performance within its cla
 ss at a near optimal rate\, even when the model is fully misspecified. A
 n empirical application to backtesting global Growth-at-Risk shows that 
 a combination of the generalized autoregressive conditionally heterosced
 astic model and the vector autoregression for Value-at-Risk performs bes
 t out-of-sample in terms of the check loss. Link: An Oracle Inequality f
 or Multivariate Dynamic Quantile Forecasting by Jordi Llorens-Terrazas :
 : SSRN
LOCATION:S2.79
CATEGORIES:Econometrics Seminar
LAST-MODIFIED:20231212T170225Z
ORGANIZER;CN=Gill Gudger:
END:VEVENT
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