1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
4 papers · 2 filters
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals
Tobias Fissler, Rafael Frongillo, Jana Hlavinová +1
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A function…
Elicitability and Identifiability of Systemic Risk Measures
Tobias Fissler, Jana Hlavinová, Birgit Rudloff
Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures i…
Evaluating Range Value at Risk Forecasts
Tobias Fissler, Johanna F. Ziegel
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a…
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"
Tobias Fissler, Johanna F. Ziegel
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and comments on imprecisions in Propositions 4.2 and 4.4 in Fissler and Ziegel (2016).