Update all Quantlets for R3 revision (30 Quantlets)#1
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danpele wants to merge 4 commits intoQuantLet:mainfrom
Open
Update all Quantlets for R3 revision (30 Quantlets)#1danpele wants to merge 4 commits intoQuantLet:mainfrom
danpele wants to merge 4 commits intoQuantLet:mainfrom
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New Quantlets: CO_asset_overview, CO_baseline_comparison_tuned, CO_baselines_evt_fhs, CO_bound_validation, CO_covid_response_lag, CO_data_returns, CO_diagnostic_regression, CO_drift_diagnostic, CO_fz_scores, CO_gamlss, CO_model_overview, CO_panel_wildcluster, CO_qV_ranking, CO_regime_sensitivity, CO_robustness, CO_robustness_inner7, CO_violation_rates. Removed obsolete: CO_coverage, CO_cross_model, CO_frontier, CO_pipeline, CO_raw_traffic_light, CO_score_comparison, CO_sharpness_penalty, CO_sign_diagnostic, Conformal_VaR_TSFM. Updated: all existing Quantlets refreshed with latest outputs. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Static and rolling conformal audit for any user-supplied probabilistic forecaster, with GJR-GARCH/GARCH-N/Historical Simulation reference benchmarks. Full diagnostic panel: Kupiec, Christoffersen, Basel traffic light, Acerbi-Székely Z2, Quantile Score, Fissler-Ziegel. LaTeX export for direct manuscript inclusion. 79 tests, 84% coverage, ruff clean.
Panel-econometric inference for multi-forecaster, multi-asset VaR audits: - audit_panel() orchestrator with deterministic per-pair seeding - PanelResult with master_table, regime_summary, cross_sectional_corr - Diagnostic regression with FWL partial R² and cluster-robust SEs - Diebold-Mariano test with Driscoll-Kraay HAC variance - Panel-pooled Kupiec test - Wild-cluster bootstrap (Rademacher) for Kupiec and DM - Full LaTeX export for all panel tables - 27 new tests (T1-T6 integration suite); 112/112 passing, 85% coverage
Eight post-hoc VaR recalibration methods from the paper's §3.2.4: - RecalibrationMethod protocol + ConformalShift wrapper - HistoricalQuantile, ScaleCorrection, LinearQR, IsotonicQR, ACI - GBM-QR (requires lightgbm), EVT-POT, FHS (EWMA-filtered) - GAMLSS-SST stub (deferred to v0.3) audit_static, audit_rolling, audit_panel, audit_with_benchmarks all accept the recalibration parameter. Default is unchanged. 61 new tests (T1-T10), 173 total, 172 passing + 1 skipped (gamlss). 94% coverage on recalibration module. Zero v0.1/v0.2-beta regressions.
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Summary
Total: 30 Quantlets covering all tables (1–13, C.14, D.15–D.18, E.1–E.5) and figures (1–8).
Test plan
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