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Johanna Ziegel
Johanna Ziegel
Professor of Statistics, ETH Zurich
Bestätigte E-Mail-Adresse bei ethz.ch - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Higher order elicitability and Osband’s principle
T Fissler, JF Ziegel
4622016
Coherence and elicitability
JF Ziegel
Mathematical Finance 26 (4), 901-918, 2016
4572016
Dynamic semiparametric models for expected shortfall (and value-at-risk)
AJ Patton, JF Ziegel, R Chen
Journal of econometrics 211 (2), 388-413, 2019
3162019
Elicitability and backtesting: Perspectives for banking regulation
N Nolde, JF Ziegel
2612017
Expected Shortfall is jointly elicitable with Value at Risk-Implications for backtesting
T Fissler, JF Ziegel, T Gneiting
arXiv preprint arXiv:1507.00244, 2015
2322015
Inference in multivariate Archimedean copula models
C Genest, J Nešlehová, J Ziegel
Test 20, 223-256, 2011
932011
Isotonic distributional regression
A Henzi, JF Ziegel, T Gneiting
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2021
682021
Risk measures with the CxLS property
F Delbaen, F Bellini, V Bignozzi, JF Ziegel
Finance and Stochastics 20, 433-453, 2016
632016
Generic conditions for forecast dominance
F Krüger, JF Ziegel
Journal of Business & Economic Statistics 39 (4), 972-983, 2021
492021
Convolution roots and differentiability of isotropic positive definite functions on spheres
J Ziegel
Proceedings of the American Mathematical Society 142 (6), 2063-2077, 2014
492014
Robust forecast evaluation of expected shortfall
JF Ziegel, F Krüger, A Jordan, F Fasciati
Journal of financial econometrics 18 (1), 95-120, 2020
45*2020
Valid sequential inference on probability forecast performance
A Henzi, JF Ziegel
Biometrika 109 (3), 647-663, 2022
412022
Scenario-based risk evaluation
R Wang, JF Ziegel
Finance and stochastics 25 (4), 725-756, 2021
402021
Cross-calibration of probabilistic forecasts
C Strähl, J Ziegel
392017
On the elicitability of range value at risk
T Fissler, JF Ziegel
Statistics & risk modeling 38 (1-2), 25-46, 2021
352021
Order-sensitivity and equivariance of scoring functions
T Fissler, JF Ziegel
342019
Elicitable distortion risk measures: A concise proof
R Wang, JF Ziegel
Statistics & Probability Letters 100, 172-175, 2015
332015
Copula calibration
JF Ziegel, T Gneiting
332014
Estimation of surface area and surface area measure of three-dimensional sets from digitizations
J Ziegel, M Kiderlen
Image and Vision Computing 28 (1), 64-77, 2010
332010
Estimating particle shape and orientation using volume tensors
JF Ziegel, JR Nyengaard, EB Vedel Jensen
Scandinavian Journal of Statistics 42 (3), 813-831, 2015
302015
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