Higher order elicitability and Osband's principle
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Cited by:
- Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
- Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
- Gordy, Michael B. & McNeil, Alexander J., 2020.
"Spectral backtests of forecast distributions with application to risk management,"
Journal of Banking & Finance, Elsevier, vol. 116(C).
- Michael B. Gordy & Alexander J. McNeil, 2017. "Spectral backtests of forecast distributions with application to risk management," Papers 1708.01489, arXiv.org, revised Jul 2019.
- Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
- Matteo Burzoni & Ilaria Peri & Chiara Maria Ruffo, 2016. "On the properties of the Lambda value at risk: robustness, elicitability and consistency," Papers 1603.09491, arXiv.org, revised Feb 2017.
- Hong Shaopeng, 2020. "Generalized Autoregressive Score asymmetric Laplace Distribution and Extreme Downward Risk Prediction," Papers 2008.01277, arXiv.org, revised Oct 2020.
- Giampiero Gallo & Ostap Okhrin & Giuseppe Storti, 2024.
"Dynamic tail risk forecasting: what do realized skewness and kurtosis add?,"
Papers
2409.13516, arXiv.org.
- G.M. Gallo & O. Okhrin & G. Storti, 2024. "Dynamic tail risk forecasting: what do realized skewness and kurtosis add?," Working Paper CRENoS 202416, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Alex Golodnikov & Viktor Kuzmenko & Stan Uryasev, 2019. "CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles," JRFM, MDPI, vol. 12(3), pages 1-22, June.
- Rafael Frongillo & Ian A. Kash, 2015. "Elicitation Complexity of Statistical Properties," Papers 1506.07212, arXiv.org, revised Aug 2020.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2015-04-02 (Risk Management)
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