Conformal_Oracle/CITATION.cff at main · QuantLet/Conformal_Oracle · GitHub

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cff-version: 1.2.0
title: "When Does Recalibration Improve Value-at-Risk Forecasts? Estimation Cost, Dependence and How Much to Correct"
message: "If you use this software or the methodology it implements, please cite the underlying paper."
type: software
version: 0.5.0
date-released: "2026-09-21"
authors:
  - family-names: Pele
    given-names: Daniel Traian
    affiliation: "Bucharest University of Economic Studies, Institute for Digital Assets"
  - family-names: Bolovaneanu
    given-names: V.
    affiliation: "Bucharest University of Economic Studies"
  - family-names: Ginavar
    given-names: A.T.
    affiliation: "Bucharest University of Economic Studies"
  - family-names: Lessmann
    given-names: Stefan
    affiliation: "Humboldt University Berlin"
  - family-names: "Härdle"
    given-names: Wolfgang Karl
    affiliation: "Humboldt University Berlin, Institute for Digital Assets"
repository-code: "https://github.com/danpele/Conformal_Oracle"
url: "https://github.com/danpele/Conformal_Oracle"
license: MIT
preferred-citation:
  type: article
  title: "When Does Recalibration Improve Value-at-Risk Forecasts? Estimation Cost, Dependence and How Much to Correct"
  authors:
    - family-names: Pele
      given-names: Daniel Traian
      affiliation: "Bucharest University of Economic Studies, Institute for Digital Assets"
    - family-names: Bolovaneanu
      given-names: V.
      affiliation: "Bucharest University of Economic Studies"
    - family-names: Ginavar
      given-names: A.T.
      affiliation: "Bucharest University of Economic Studies"
    - family-names: Lessmann
      given-names: Stefan
      affiliation: "Humboldt University Berlin"
    - family-names: "Härdle"
      given-names: Wolfgang Karl
      affiliation: "Humboldt University Berlin, Institute for Digital Assets"
  year: 2026
  url: "https://github.com/danpele/Conformal_Oracle"
  notes: "The R7 and R8 public APIs accompany the earlier manuscript, Conformal Recalibration of Extreme Tail Quantiles under Temporal Dependence."