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Prof. Dr. Yannick Hoga

WiWi

Anschrift
Universitätsstr. 12
45141 Essen
Raum
R12 R06 A32
Telefon
+49 201 18 3 4365 / 3 3919
E-Mail
Yannick.Hoga@vwl.uni-due.de
Webseite
http://www.oek.wiwi.uni-due.de

Funktionen

  • Universitätsprofessor/in, Finanzmarktökonometrie

  • Gruppe der Hochschullehrerinnen und Hochschullehrer, Fakultätsrat

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Dimitriadis, Timo; Hoga, Yannick
    Dynamic CoVaR Modeling and Estimation
    In: Journal of Business & Economic Statistics: JBES, 2026, in press
    DOI, Online Volltext (Open Access)
  • Dimitriadis, Timo; Hoga, Yannick
    Regressions under Adverse Conditions
    In: Journal of Business & Economic Statistics: JBES, Jg. 44, 2026, Nr. 1, S. 227 – 241
    DOI (Open Access)
  • Hoga, Yannick
    The Estimation Risk in Extreme Systemic Risk Forecasts
    In: Econometric Theory, Jg. 41, 2025, Nr. 2, S. 341 – 390
    DOI, Online Volltext (Open Access)
  • Fissler, Tobias; Hoga, Yannick
    Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
    In: Journal of Business & Economic Statistics: JBES, Jg. 42, 2024, Nr. 2, S. 485 – 498
    DOI, Online Volltext (Open Access)
  • Hoga, Yannick; Demetrescu, Matei
    Monitoring Value-at-Risk and Expected Shortfall Forecasts
    In: Management Science, Jg. 69, 2023, Nr. 5, S. 2954 – 2971
    DOI
  • Hoga, Yannick; Dimitriadis, Timo
    On Testing Equal Conditional Predictive Ability Under Measurement Error
    In: Journal of Business & Economic Statistics: JBES, Jg. 41, 2023, Nr. 2, S. 364 – 376
    DOI, Online Volltext (Open Access)
  • Hoga, Yannick
    Extremal Dependence-Based Specification Testing of Time Series
    In: Journal of Business & Economic Statistics: JBES, Jg. 41, 2022, Nr. 4, S. 1274 – 1287
    DOI, Online Volltext (Open Access)
  • Hoga, Yannick
    Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles
    In: Journal of Financial Econometrics, Jg. 20, 2022, Nr. 1, S. 18 – 44
    DOI
  • Hoga, Yannick
    Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting
    In: Journal of Financial Econometrics, Jg. 20, 2022, Nr. 5, S. 1007 – 1037
    DOI
  • Hoga, Yannick
    Quantifying the data-dredging bias in structural break tests
    In: Statistical Papers, Jg. 63, 2022, Nr. 1, S. 143 – 155
    DOI (Open Access)
  • Hoga, Yannick
    The uncertainty in extreme risk forecasts from covariate-augmented volatility models
    In: International Journal of Forecasting, Jg. 37, 2021, Nr. 2, S. 675 – 686
    DOI
  • Hoga, Yannick
    Where does the tail begin? : An approach based on scoring rules
    In: Econometric Reviews, Jg. 39, 2020, Nr. 6, S. 579 – 601
    DOI, Online Volltext (Open Access)
  • Hoga, Yannick
    Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
    In: Journal of Business & Economic Statistics: JBES, Jg. 37, 2019, Nr. 4, S. 613 – 624
    DOI
  • Hoga, Yannick
    Extending the Limits of Backtesting via the ‘Vanishing p’-Approach
    In: Journal of Time Series Analysis, Jg. 40, 2019, Nr. 5, S. 858 – 866
    DOI
  • Hoga, Yannick
    Extreme Conditional Tail Moment Estimation under Serial Dependence
    In: Journal of Financial Econometrics, Jg. 17, 2019, Nr. 4, S. 587 – 615
    DOI
  • Hoga, Yannick
    A structural break test for extremal dependence in β-mixing random vectors
    In: Biometrika, Jg. 105, 2018, Nr. 3, S. 627 – 643
    DOI, Online Volltext (Open Access)
  • Hoga, Yannick
    Detecting Tail Risk Differences in Multivariate Time Series
    In: Journal of Time Series Analysis, Jg. 39, 2018, Nr. 5, S. 665 – 689
    DOI
  • Hoga, Yannick
    Change point tests for the tail index of β-mixing random variables
    In: Econometric Theory, Jg. 33, 2017, Nr. 4, S. 915 – 954
    DOI
  • Hoga, Yannick
    Monitoring multivariate time series
    In: Journal of Multivariate Analysis, Jg. 155, 2017, S. 105 – 121
    DOI
  • Hoga, Yannick; Wied, Dominik
    Sequential monitoring of the tail behavior of dependent data
    In: Journal of Statistical Planning and Inference, Jg. 182, 2017, S. 29 – 49
    DOI (Open Access)
  • Hoga, Yannick
    Testing for changes in (extreme) VaR
    In: The Econometrics Journal, Jg. 20, 2017, Nr. 1, S. 23 – 51
    DOI

    • Working Paper

  • Hoga, Yannick; Karlsson, Martin
    Extremal Expected Shortfall Regressions : Inference and an Application to Health Care Spending
    2026
    (CINCH working paper series ; 2026/02)
    DOI, Online Volltext (Open Access)