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  • Search: subject:"Consistent scoring functions"
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Year of publication
Subject
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Consistent scoring functions 2 Estimation theory 2 Schätztheorie 2 Diebold-Mariano tests 1 Estimation 1 Forecast evaluation 1 Forecasting model 1 Local Divergences 1 M-estimation 1 Measurement 1 Messung 1 Murphy diagrams 1 Online Z-Estimation 1 Prognoseverfahren 1 Robust statistics 1 Robustes Verfahren 1 Schätzung 1 Score-driven models 1 Statistical test 1 Statistischer Test 1 Systemic risk 1 Systemrisiko 1 Time series analysis 1 Zeitreihenanalyse 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Dijkstra, Mathijs R. G. 1 Diks, Cees G. H. 1 Fissler, Tobias 1 Hlavinová, Jana 1 Punder, Ramon de 1 Rudloff, Birgit 1
Published in...
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Discussion paper / Tinbergen Institute 1 Finance and stochastics 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Elicitability and identifiability of set-valued measures of systemic risk
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit - In: Finance and stochastics 25 (2021) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10012433518
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Cover Image
Barron-Loss adaptive estimation
Punder, Ramon de; Dijkstra, Mathijs R. G.; Diks, Cees G. H. - 2026
The score-driven framework relies on pre-specified scoring rules tied to assumed conditional densities, making it vulnerable to misspecification under outliers or structural breaks. We embed the flexible Barron loss within the quasi score-driven (QSD) framework, allowing the degree of robustness...
Persistent link: https://www.econbiz.de/10015644884
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