462 citations · 706 across the 37 of their papers we have counts for
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q-fin.RM2015★ 91 cited
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can…
stat.ME2015
Cross-calibration of probabilistic forecasts
Christof Strähl, Johanna F. Ziegel
When providing probabilistic forecasts for uncertain future events, it is common to strive for calibrated forecasts, that is, the predictive distribution should be compatible with…
math.ST2015★ 462 cited
Higher order elicitability and Osband's principle
Tobias Fissler, Johanna F. Ziegel
A statistical functional, such as the mean or the median, is called elicitable if there is a scoring function or loss function such that the correct forecast of the functional is t…