The Efficiency Gap

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The Efficiency Gap

27 October 2020

Timo Dimitriadis

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Papers citing "The Efficiency Gap"

14 / 14 papers shown

Title
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary Timo Dimitriadis Xiaochun Liu Julie Schnaitmann 25 2 0 15 Sep 2020
Scoring Interval Forecasts: Equal-Tailed, Shortest, and Modal Interval Jonas R. Brehmer T. Gneiting 73 17 0 11 Jul 2020
Testing Forecast Rationality for Measures of Central Tendency Timo Dimitriadis Andrew J. Patton Patrick Schmidt 73 9 0 28 Oct 2019
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals Tobias Fissler Rafael Frongillo Jana Hlavinová Birgit Rudloff 34 18 0 16 Oct 2019
Forecast Encompassing Tests for the Expected Shortfall Timo Dimitriadis Julie Schnaitmann 28 9 0 13 Aug 2019
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle" Tobias Fissler J. Ziegel 32 7 0 25 Jan 2019
Simultaneous Mean-Variance Regression R. Spady S. Stouli 31 7 0 05 Apr 2018
Order-Sensitivity and Equivariance of Scoring Functions Tobias Fissler J. Ziegel 30 28 0 27 Nov 2017
Elicitability and its Application in Risk Management Jonas R. Brehmer 45 15 0 30 Jul 2017
A Joint Quantile and Expected Shortfall Regression Framework Timo Dimitriadis Sebastian Bayer 36 52 0 07 Apr 2017
Semi-parametric efficiency bounds for high-dimensional models Jana Janková Sara van de Geer 61 42 0 05 Jan 2016
Higher order elicitability and Osband's principle Tobias Fissler J. Ziegel 59 328 0 27 Mar 2015
Making and Evaluating Point Forecasts T. Gneiting 119 1,055 0 04 Dec 2009
Quantile and Probability Curves Without Crossing Victor Chernozhukov Iván Fernández-Val Alfred Galichon 623 522 0 27 Apr 2007