Concepedia

Johanna F. Ziegel

JF

30

Publications

1.6K

Citations

18

H-Index

2009

Active since

Affiliations

University of Bern(Current)

Aarhus University

Institute of Mathematical Statistics

Heidelberg University

Johanna F. Ziegel is an author at University of Bern specializing in statistics, engineering, and finance.

Top concepts

EngineeringStatisticsFinanceRisk ManagementBusinessManagementForecastingData SciencePredictive AnalyticsStatistical Inference

Publications per year

2009–2023

30

Publications

30

COHERENCE AND ELICITABILITY

Johanna F. Ziegel · Mathematical Finance · 2014 · 357 citations · Full text

Engineering, Financial Risk Management, Risk Metric +25

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

Andrew J. Patton, Johanna F. Ziegel, Rui Chen · Journal of Econometrics · 2019 · 252 citations

Engineering, Dynamic Semiparametric Models, Risk Management +5

Elicitability and backtesting: Perspectives for banking regulation

Natalia Nolde, Johanna F. Ziegel · The Annals of Applied Statistics · 2017 · 204 citations · Full text

Engineering, Financial Risk Management, Risk Metric +18

Expected Shortfall is jointly elicitable with Value at Risk -\n Implications for backtesting

Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting · arXiv (Cornell University) · 2015 · 99 citations · Full text

Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting

Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting · Bern Open Repository and Information System (University of Bern) · 2015 · 90 citations · Full text

Economics, Asset Pricing, Backtesting +15

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