Publications
Testing Quantile Forecast Optimality, with Jack Fosten and Daniel Gutknecht; Journal of Business and Economic Statistics (2024), 42, 1367-1378. Paper, R package, Video,
Forecasting under Long Memory, with Uwe Hassler; Journal of Financial Econometrics (2023), 21, 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
Simultaneous Inference Bands for Autocorrelations, with Uwe Hassler and Tanja Zahn (2025), Paper, R package
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, Revise and Resubmit: Journal of Applied Econometrics
The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation (2020), Paper