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20112026
most citedThe role of the information set for forecasting - with applications to risk management

48 citations · 88 across the 24 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

math.ST2016★ 7 cited

Asymptotics for the expected shortfall

Tobias Zwingmann, Hajo Holzmann

We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particula…

stat.ME2016★ 3 cited

Weighted scoring rules and hypothesis testing

Hajo Holzmann, Bernhard Klar

We discuss weighted scoring rules for forecast evaluation and their connection to hypothesis testing. First, a general construction principle for strictly locally proper weighted s…