85 citations · 137 across the 8 of their papers we have counts for
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stat.CO2017★ 39 cited
Evaluating probabilistic forecasts with scoringRules
Alexander Jordan, Fabian Krüger, Sebastian Lerch
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields including meteorology, hydrology, economics, and demograph…
q-fin.RM2017
Murphy Diagrams: Forecast Evaluation of Expected Shortfall
Johanna F. Ziegel, Fabian Krüger, Alexander Jordan +1
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to eva…