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Julie Schnaitmann
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Year
Forecast encompassing tests for the expected shortfall
T Dimitriadis, J Schnaitmann
International Journal of Forecasting 37 (2), 604-621, 2021
82021
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
T Dimitriadis, X Liu, J Schnaitmann
arXiv preprint arXiv:2009.07341, 2020
12020
A Regularized Factor-augmented Vector Autoregressive Model
M Daniele, J Schnaitmann
arXiv preprint arXiv:1912.06049, 2019
12019
Essays in Modern Time Series Econometrics with Applications in Macroeconomics and Finance
J Schnaitmann
2021
Empirical Asset Pricing in a DSGE Framework: Reconciling Calibration and Econometrics using Partial Indirect Inference
J Grammig, J Schnaitmann, D Elshiaty
Available at SSRN 3648085, 2020
2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary [Previous title
T Dimitriadis, X Liu, J Schnaitmann
Available at SSRN 3497321, 2019
2019
A Regularized Structural Factor-augmented Vector Autoregressive Model
M Daniele, J Schnaitmann
GSDS-Graduate School of Decision Sciences, University of Konstanz, 2019
2019
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