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Johanna F. Ziegel · Study
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Author
Johanna F. Ziegel
8 works
· latest 2019
· 2 institutions
cluster: provisional
ORCID 0000-0002-5916-9746
Works
8 shown
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Journal of Econometrics
·
2019
·
3 authors
288
citations
Elicitability and backtesting: Perspectives for banking regulation
The Annals of Applied Statistics
·
2017
·
2 authors
·
Open access
204
citations
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
arXiv (Cornell University)
·
2017
·
3 authors
·
preprint
·
Open access
49
citations
Higher order elicitability and Osband’s principle
The Annals of Statistics
·
2016
·
2 authors
·
Open access
445
citations
Risk measures with the CxLS property
Finance and Stochastics
·
2015
·
4 authors
58
citations
COHERENCE AND ELICITABILITY
Mathematical Finance
·
2014
·
1 author
·
Open access
357
citations
Inference in multivariate Archimedean copula models
Test
·
2011
·
3 authors
72
citations
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Bern Open Repository and Information System (University of Bern)
·
3 authors
·
Open access
143
citations