Publications

More Publications

Economic variables are often reported on different scales or with measurement error, e.g. in macroeconomic and financial applications. We examine the sensitivity of scoring rules for distribution forecasts in two dimensions: linear rescaling of the data and the influence of noise on the forecast evaluation outcome. First, we show that all commonly used scoring rules for distribution forecasts are robust to rescaling the data. Second, it is revealed that the forecast ranking based on the continuous ranked probability score is less sensitive to measurement error than the log score. Our theoretical results are complemented by a simulation study based on forecasting quarterly GDP growth and an empirical application forecasting realized variances of 28 DJIA constituents. In line with its proven gross-error-insensitivity, the ranking of the continuous ranked probability score is the most consistent between evaluations based on the true outcome and the observations with measurement error.
Job market paper
Details PDF

Theoretical and evidence-based examination of multiplicative volatility models that decompose the conditional variance into a short- and a long-term component.
Journal of Applied Econometrics
Details PDF Working Paper

We examine whether low-volatility factor investing can benefit from using time series models that employ intraday data.
Work in progress
Details

Econometric software

R package: mfGARCH

  • An R package for estimating multiplicative mixed-frequency GARCH models (GARCH-MIDAS) as proposed in Engle et al. (2013)
  • Can be installed from CRAN
  • Development version can be found in its Github repository
  • Creator and maintainer

R package: alfred

  • Provides direct access to the FRED and ALFRED databases. Its functions return tidy data frames for different releases of the specified time series.
  • Can be installed from CRAN
  • Development version can be found in its Github repository
  • Creator and maintainer

Conferences & Summer Schools

More Talks

Contact