← All authors Yannick Hoga University of Duisburg-Essen (from arXiv:2601.08598, 2026) · ORCID · OpenAlex
26 papers in scope · 22 published · 7 on the econ.EM arXiv · 246 citations · h-index 10 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Timo Dimitriadis Tobias Fissler Marius Puke Christian Schulz Zhenlin Yang Alain Pirotte Oğuzhan Akgün Nina Kuriyama Alex Maynard Julie Schnaitmann Jasper Rennspies Jeannine Polivka Sina Streicher Rui Fan Patrick Schmidt Rafael Reisenhofer Xandro Bayer Nikolaus Hautsch Xiaochun Liu Hajo Holzmann Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (9 of 26)
working paper 2026 · arXiv
published 2026 · Journal of Business and Economic Statistics
working paper 2026 · arXiv
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2022
published 2025 · Journal of Business and Economic Statistics · 2 citations · first circulated 2023
working paper 2025 · arXiv
working paper 2024 · arXiv · 1 citations
THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS
published 2023 · Econometric Theory · 2 citations
published 2023 · Journal of Business and Economic Statistics · 26 citations · first circulated 2021
Extremal Dependence-Based Specification Testing of Time Series
published 2022 · Journal of Business and Economic Statistics · 2 citations · first circulated 2021
Monitoring Value-at-Risk and Expected Shortfall Forecasts
published 2022 · Management Science · 30 citations
with Matei Demetrescu
published 2021 · Journal of Business and Economic Statistics · 5 citations
Quantifying the data-dredging bias in structural break tests
published 2021 · Statistical Papers
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
published 2020 · International Journal of Forecasting · 9 citations
Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting
published 2020 · Journal of Financial Econometrics · 6 citations
Where does the tail begin? An approach based on scoring rules
published 2019 · Econometric Reviews · 6 citations
Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles
published 2019 · Journal of Financial Econometrics · 10 citations
Extending the Limits of Backtesting via the ‘Vanishing p ’‐Approach
published 2019 · Journal of Time Series Analysis · 3 citations
Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
published 2018 · Journal of Business and Economic Statistics · 34 citations · first circulated 2017
Extreme Conditional Tail Moment Estimation under Serial Dependence
published 2018 · Journal of Financial Econometrics · 9 citations
A structural break test for extremal dependence in β-mixing random vectors
published 2018 · Biometrika · 17 citations
Detecting Tail Risk Differences in Multivariate Time Series
published 2018 · Journal of Time Series Analysis · 13 citations
Monitoring multivariate time series
published 2016 · Journal of Multivariate Analysis · 22 citations
Testing for changes in (extreme) VaR
published 2016 · Econometrics Journal · 18 citations
Sequential monitoring of the tail behavior of dependent data
published 2016 · Journal of Statistical Planning and Inference · 13 citations
CHANGE POINT TESTS FOR THE TAIL INDEX OF β -MIXING RANDOM VARIABLES
published 2016 · Econometric Theory · 17 citations
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