Publications:

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• Hoga, Y.: Extreme Conditional Tail Moment Estimation under Serial Dependence. In: Journal of Financial Econometrics, forthcoming (2018). doi:10.1093/jjfinec/nby016 Details
• Hoga, Y.: A structural break test for extremal dependence in β-mixing random vectors. In: Biometrika, forthcoming (2018). doi:10.1093/biomet/asy030
• Hoga, Y.: Detecting Tail Risk Differences in Multivariate Time Series. In: Journal of Time Series Analysis, forthcoming (2018). doi:10.1111/jtsa.12292 Details
• Hoga, Y.: Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models. In: Journal of Business & Economic Statistics, forthcoming (2018). doi:10.1080/07350015.2017.1401543 Details
• Hoga, Y.: Change Point Tests for the Tail Index of β-Mixing Random Variables. In: Econometric Theory, Vol 33 (2017) No 4, p. 915-954. doi:10.1017/S0266466616000189
• Hoga, Y.: Testing for Changes in (Extreme) VaR. In: Econometrics Journal, Vol 20 (2017), p. 23-51. doi:10.1111/ectj.12080
• Hoga, Y.; Wied, D.: Sequential Monitoring of the Tail Behavior of Dependent Data. In: Journal of Statistical Planning & Inference, Vol 182 (2017), p. 29-49. doi:10.1016/j.jspi.2016.08.010
• Hoga, Y.: Monitoring Multivariate Time Series. In: Journal of Multivariate Analysis, Vol 155 (2017), p. 105-121. doi:10.1016/j.jmva.2016.12.003