Ziegel, Johanna F.

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2020

Arnold, Sebastian; Molchanov, Ilya; Ziegel, Johanna F. (2020). Bivariate distributions with ordered marginals. Journal of multivariate analysis, 177, p. 104585. Elsevier 10.1016/j.jmva.2019.104585

Krüger, Fabian; Ziegel, Johanna F. (2020). Generic Conditions for Forecast Dominance. Journal of Business and Economic Statistics, pp. 1-12. Taylor & Francis 10.1080/07350015.2020.1741376

2019

Larsen, Nick Y.; Ziegel, Johanna F.; Nyengaard, Jens R.; Vedel Jensen, Eva B. (2019). Stereological estimation of particle shape from vertical sections. Journal of microscopy, 275(3), pp. 183-194. Wiley-Blackwell 10.1111/jmi.12826

Ziegel, Johanna F.; Krüger, Fabian; Jordan, Alexander Inigo; Fasciati, Fernando (2019). Robust Forecast Evaluation of Expected Shortfall. Journal of financial econometrics, 18(1), pp. 95-120. Oxford University Press 10.1093/jjfinec/nby035

Steinwart, Ingo; Ziegel, Johanna F. (2019). Strictly proper kernel scores and characteristic kernels on compact spaces (In Press). Applied and Computational Harmonic Analysis Elsevier 10.1016/j.acha.2019.11.005

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

Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui (2019). Dynamic semiparametric models for expected shortfall (an value-at-risk). Journal of econometrics, 211(2), pp. 388-413. Elsevier 10.1016/j.jeconom.2018.10.008

2018

Dümbgen, Lutz; Mühlemann, Anja; Ziegel, Johanna F.; Brunnhofer, Ursina; Bürki, Martin; Kaeslin, Livio; Rodriguez, Georg (2018). Kalibrierung von Quell-Ziel-Matrizen (Technische Berichte 79). IMSV

2017

Trübner, Mara; Ziegel, Johanna F. (2017). Derivatives of isotropic positive definite functions on spheres. Proceedings of the American Mathematical Society, 145(7), pp. 3017-3031. American Mathematical Society 10.1090/proc/13561

Strähl, Christof; Ziegel, Johanna F. (2017). Cross-calibration of probabilistic forecasts. Electronic journal of statistics, 11(1), pp. 608-639. Institute of Mathematical Statistics 10.1214/17-EJS1244

Kousholt, A.; Ziegel, Johanna F.; Kiderlen, M.; Jensen, E. B. Vedel (2017). Stereological estimation of mean particle volume tensors in R³ from vertical sections. In: Jensen, Eva B. Vedel; Kiderlen, Markus (eds.) Tensor Valuations and their applications in Stochastic Geometry and Imaging. Lecture Notes in Mathematics: Vol. 2177 (pp. 423-434). Springer

Nolde, Natalia; Ziegel, Johanna F. (2017). Elicitability and backtesting: Perspectives for banking regulation. The annals of applied statistics, 11(4), pp. 1833-1874. Institute of Mathematical Statistics 10.1214/17-AOAS1041

Nolde, Natalia; Ziegel, Johanna F. (2017). Rejoinder: "Elicitability and backtesting: Perspectives for banking regulation''. The annals of applied statistics, 11(4), pp. 1901-1911. Institute of Mathematical Statistics 10.1214/17-AOAS1041F

2016

Ziegel, Johanna F. (2016). Coherence and Elicitability. Mathematical Finance, 26(4), pp. 901-918. Wiley 10.1111/mafi.12080

Rafati, A. H.; Ziegel, Johanna F.; Nyengaard, J. R.; Jensen, E. B. Vedel (2016). Stereological estimation of particle shape and orientation from volume tensors. Journal of microscopy, 263(3), pp. 229-237. Wiley-Blackwell 10.1111/jmi.12382

Fissler, Tobias; Ziegel, Johanna F.; Gneiting, Tilmann (2016). Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. Risk Magazine Incisive Financial Publ.

Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F. (2016). Risk measures with the CxLS property. Finance and stochastics, 20(2), pp. 433-453. Springer 10.1007/s00780-015-0279-6

Fissler, Tobias; Ziegel, Johanna F. (2016). Higher order elicitability and Osband’s principle. Annals of statistics, 44(4), pp. 1680-1707. Institute of Mathematical Statistics 10.1214/16-AOS1439

Ziegel, Johanna F. (2016). Contribution to the discussion of “Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings” by Werner Ehm, Tilmann Gneiting, Alexander Jordan and Fabian Krüger. Journal of the Royal Statistical Society. Series B - statistical methodology, 78, pp. 555-556. Royal Statistical Society

2015

Ziegel, Johanna F.; Nyengaard, Jens R.; Vedel Jensen, Eva B. (2015). Estimating Particle Shape and Orientation Using Volume Tensors. Scandinavian journal of statistics, 42(3), pp. 813-831. Blackwell 10.1111/sjos.12138

Wang, Ruodu; Ziegel, Johanna F. (2015). Elicitable distortion risk measures: A concise proof. Statistics and Probability Letters, 100, pp. 172-175. Elsevier 10.1016/j.spl.2015.02.004

Ziegel, Johanna F. (2015). Copula calibration. Oberwolfach reports, 12, pp. 1091-1094. European Mathematical Society

Ziegel, Johanna F. (2015). How is elicitability relevant for backtesting? Oberwolfach reports, 12, pp. 2526-2527. European Mathematical Society

2014

Podolskij, Mark; Schmidt, Christian; Ziegel, Johanna F. (2014). Limit theorems for nondegenerate U-statistics of continuous semimartingales. Annals of applied probability, 24(6), pp. 2491-2526. Institute of Mathematical Statistics 10.1214/13-AAP983

Ziegel, Johanna F.; Jensen, Eva B. Vedel (2014). Local Stereology of Tensors of Convex Bodies. Methodology and Computing in Applied Probability, 16(2), pp. 263-282. Springer 10.1007/s11009-013-9337-8

Ziegel, Johanna F. (2014). Convolution roots and differentiability of isotropic positive definite functions on spheres. Proceedings of the American Mathematical Society, 142(6), pp. 2063-2077. American Mathematical Society 10.1090/S0002-9939-2014-11989-7

Ziegel, Johanna F.; Gneiting, Tilmann (2014). Copula calibration. Electronic journal of statistics, 8(2), pp. 2619-2638. Institute of Mathematical Statistics 10.1214/14-EJS964

2013

Auneau-Cognacq, Jeremy; Ziegel, Johanna F.; Jensen, Eva B. Vedel (2013). Rotational integral geometry of tensor valuations. Advances in applied mathematics, 50(3), pp. 429-444. Elsevier 10.1016/j.aam.2012.10.006

Ziegel, Johanna F. (2013). Stereological Modelling of Random Particles. Communications in statistics - theory and methods, 42(7), pp. 1428-1442. Marcel Dekker 10.1080/03610926.2012.709299

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