142 citations · 658 across the 32 of their papers we have counts for
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math.ST2019★ 21 cited
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals
Tobias Fissler, Rafael Frongillo, Jana Hlavinová +1
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A function…
math.ST2019★ 6 cited
Elicitability and Identifiability of Systemic Risk Measures
Tobias Fissler, Jana Hlavinová, Birgit Rudloff
Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures i…