Elicitability and identifiability of set-valued measures of systemic risk
Year of publication: |
2021
|
---|---|
Authors: | Fissler, Tobias ; Hlavinová, Jana ; Rudloff, Birgit |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 1, p. 133-165
|
Subject: | Consistent scoring functions | Diebold-Mariano tests | Forecast evaluation | M-estimation | Murphy diagrams | Prognoseverfahren | Forecasting model | Messung | Measurement | Schätztheorie | Estimation theory | Systemrisiko | Systemic risk | Statistischer Test | Statistical test | Schätzung | Estimation |
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