Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Tobias Fissler"'
Publikováno v:
Statistical Papers
Dimitriadis, Timo; Fissler, Tobias; Ziegel, Johanna (2023). Osband’s principle for identification functions (In Press). Statistical Papers Springer 10.1007/s00362-023-01428-x
Dimitriadis, Timo; Fissler, Tobias; Ziegel, Johanna (2023). Osband’s principle for identification functions (In Press). Statistical Papers Springer 10.1007/s00362-023-01428-x
Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e4c334009daac7cf853ac67160f0c83
https://doi.org/10.1007/s00362-023-01428-x
https://doi.org/10.1007/s00362-023-01428-x
Autor:
Tobias Fissler, Johanna F. Ziegel
Publikováno v:
Fissler, Tobias; Ziegel, Johanna F. (2021). On the elicitability of Range Value at Risk. Statistics & risk modeling, 38(1-2), pp. 25-46. De Gruyter 10.1515/strm-2020-0037
The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0bffdac981a87fe3a298e31baacc14d
https://doi.org/10.1515/strm-2020-0037
https://doi.org/10.1515/strm-2020-0037
Publikováno v:
Finance and Stochastics. 25:133-165
Identification and scoring functions are statistical tools to assess the calibration of risk measure estimates and to compare their performance with other estimates, e.g. in backtesting. A risk measure is called identifiable (elicitable) if it admits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f4a42608d5730b9d73cfd03c80f86ed
https://doi.org/10.1007/s00780-020-00446-z
https://doi.org/10.1007/s00780-020-00446-z
Autor:
Tobias Fissler, Silvana M. Pesenti
We propose a holistic framework for constructing sensitivity measures for any elicitable functional of a response variable. The sensitivity measures, termed score-based sensitivities, are constructed via scoring functions that are (strictly) consiste
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https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5b8bef82666a40a92a3c4822c16369e
http://arxiv.org/abs/2203.00460
http://arxiv.org/abs/2203.00460
Autor:
Tobias Fissler, Yannick Hoga
Systemic risk measures such as CoVaR, CoES and MES are widely-used in finance, macroeconomics and by regulatory bodies. Despite their importance, we show that they fail to be elicitable and identifiable. This renders forecast comparison and validatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::615e8602e466c0168282edfa1ef2d012
http://arxiv.org/abs/2104.10673
http://arxiv.org/abs/2104.10673
Autor:
Tobias Fissler, Johanna F. Ziegel
Publikováno v:
Ann. Statist. 49, no. 1 (2021), 614
A pair of errors regarding Proposition 3.4 and Theorem 5.2(ii) of Fissler and Ziegel (2016) have been noted. Corrections to them along with comments on imprecisions in two other results, Propositions 4.2 and 4.4 in the same article, are provided in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9aa2ced8d5e7c90a084f9aef446dc9b7
https://doi.org/10.1214/20-aos2014
https://doi.org/10.1214/20-aos2014
Publikováno v:
Biometrika.
Statistical functionals are called elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and quantiles are elicitable, it has been shown in Heinrich (2014) that t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c8a98ad900e064fe9eb872aece6fbd58
https://doi.org/10.1093/biomet/asab065
https://doi.org/10.1093/biomet/asab065
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A functional is elicitable if it is the unique minimiser of an expected scoring
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https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d0acc0a47ea798f38f49de5c00970547
http://arxiv.org/abs/1910.07912
http://arxiv.org/abs/1910.07912
Autor:
Tobias Fissler, Johanna F. Ziegel
Publikováno v:
Fissler, Tobias; Ziegel, Johanna F. (2019). Order-sensitivity and equivariance of scoring functions. Electronic journal of statistics, 13(1), pp. 1166-1211. Institute of Mathematical Statistics 10.1214/19-EJS1552
Electron. J. Statist. 13, no. 1 (2019), 1166-1211
Electron. J. Statist. 13, no. 1 (2019), 1166-1211
The relative performance of competing point forecasts is usually measured in terms of loss or scoring functions. It is widely accepted that these scoring function should be strictly consistent in the sense that the expected score is minimized by the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c5034acec34b8c98f0102b4310d135b
https://boris.unibe.ch/140203/1/FisslerZiegel2019.pdf
https://boris.unibe.ch/140203/1/FisslerZiegel2019.pdf
Autor:
Mark Podolskij, Tobias Fissler
Publikováno v:
Bernoulli 23, no. 4B (2017), 3021-3066
Fissler, T & Podolskij, M 2014 ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Fissler, T & Podolskij, M 2017, ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ', Bernoulli, vol. 23, no. 4B, pp. 3021-3066 .
Fissler, T & Podolskij, M 2014 ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Fissler, T & Podolskij, M 2017, ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ', Bernoulli, vol. 23, no. 4B, pp. 3021-3066 .
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7b22d15d3e011232e2b7cf5a1747a36
http://projecteuclid.org/euclid.bj/1495505084
http://projecteuclid.org/euclid.bj/1495505084