Research
Publications
Testing Quantile Forecast Optimality, with Jack Fosten and Daniel Gutknecht; Journal of Business and Economic Statistics, accepted (2024+), Paper, R package, Video,
Forecasting under Long Memory, with Uwe Hassler; Journal of Financial Econometrics (2023), 21(3): 742-778, Paper, Working Paper
Unlucky Number 13? Manipulating Evidence Subject to Snooping, with Uwe Hassler; International Statistical Review (2022), 90: 397– 410, Paper
Working Papers
Measuring Dependence between Events, with Timo Dimitriadis and Jan-Lukas Wermuth (2024), Paper, R package
Generalised Covariances and Correlations, with Tobias Fissler (2023), Paper, R package, Video, Reject and Resubmit: Journal of the Royal Statistical Society Series B: Statistical Methodology
Score-based calibration testing for multivariate forecast distributions, with Malte Knüppel and Fabian Krüger (2022), Paper, R package
The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation (2020), Paper
Work in Progress
Uncertainty Quantification in Forecast Comparisons, with Tanja Zahn and Sebastian Lerch
Proper Correlation Coefficients, with Jan-Lukas Wermuth
Statistical Inference for Rank Correlations, with Christian H. Weiß and Jan-Lukas Wermuth
How Far Can We Forecast the Economy?, with Tanja Zahn
Simultaneous Confidence and Significance Bands for Autocorrelation Functions, with Uwe Hassler and Tanja Zahn
Rank Autocorrelations, with Christian H. Weiß and Jan-Lukas Wermuth
Regression Diagnostics via Generalised Residuals, with Matei Demetrescu, Timo Dimitriadis and Jan-Lukas Wermuth
A Theory of Absolute Forecast Evaluation: Generalised Errors and Calibration
Proper Forecast Accuracy Measures
Interval Forecast Evaluation