462 citations · 706 across the 37 of their papers we have counts for
Showing 2018Show all
3 papers · 1 filter
math.ST2018★ 1 cited
Local Estimation of a Multivariate Density and its Derivatives
Christof Strähl, Johanna F. Ziegel, Lutz Duembgen
We analyze four different approaches to estimate a multivariate probability density (or the log-density) and its first and second order derivatives. Two methods, local log-likeliho…
q-fin.MF2018★ 1 cited
Scenario-based Risk Evaluation
Ruodu Wang, Johanna F. Ziegel
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations…
stat.ME2018
Generic Conditions for Forecast Dominance
Fabian Krüger, Johanna F. Ziegel
Recent studies have analyzed whether one forecast method dominates another under a class of consistent scoring functions. While the existing literature focuses on empirical tests o…