Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
2019 · Journal of Econometrics · 252 citations
https://doi.org/10.1016/j.jeconom.2018.10.008
J
Johanna F. Ziegel
ETH Zurich(CH)
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Johanna F. Ziegel is an academic researcher from ETH Zurich. The author has contributed to research in topics: Financial Risk and Volatility Modeling & Risk and Portfolio Optimization & Statistical Methods and Inference. The author has an h-index of 19, co-authored 127 publications.
ORCID: 0000-0002-5916-9746Papers by this author
worksOsband’s principle for identification functions
2023 · Statistical Papers · 6 citations
https://doi.org/10.1007/s00362-023-01428-x
Distributional (Single) Index Models
2021 · Figshare · 5 citations
https://doi.org/10.6084/m9.figshare.14731719
Murphy Diagrams: Forecast Evaluation of Expected Shortfall
2017 · heiDOK (Heidelberg University) · 3 citations
https://doi.org/10.11588/heidok.00022950
Generic Conditions for Forecast Dominance
2020 · Figshare · 3 citations
https://doi.org/10.6084/m9.figshare.11968584
T-calibration in semi-parametric models
2026 · Repository for Publications and Research Data (ETH Zurich) · 0 citations
https://doi.org/10.3929/ethz-c-000793497
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