462 citations · 706 across the 37 of their papers we have counts for
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stat.ME2013
Copula Calibration
Johanna F. Ziegel, Tilmann Gneiting
We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibratio…
q-fin.RM2013★ 4 cited
Coherence and elicitability
Johanna F. Ziegel
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and co…