List of publications
Preprints
- T. Fissler, F. Liu, R. Wang, L. Wei (2024). Elicitability and identifiability of tail risk measures
- T. Fissler, M.-O. Pohle (2023). Generalised Covariances and Correlations
- T. Fissler, C. Lorentzen, M. Mayer (2022). Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice
- T. Dimitriadis, T. Fissler, J. F. Ziegel (2020). The Efficiency Gap
2024
- T. Fissler, Y. Hoga (2024). Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. Journal of Business & Economic Statistics 42 (2), 485-498
- T. Dimitriadis, T. Fissler, J. Ziegel (2024). Characterizing M-estimators. Biometrika 111 (1), 339-346
- T. Dimitriadis, T. Fissler, J. Ziegel (2024). Osband’s Principle for Identification Functions. Statistical Papers 65, 1125-1132
2023
- T. Fissler, M. Merz, M. V. Wüthrich (2023). Deep Quantile and Deep Composite Model Regression. Insurance: Mathematics and Economics 109, 94-112
- T. Fissler, S. M. Pesenti (2023). Sensitivity measures based on scoring functions. European Journal of Operational Research 307 (3), 1408-1423
2022
- T. Fissler, H. Holzmann (2022). Measurability of functionals and of ideal point forecasts. Electronic Journal of Statistics 16 (2), 5019-5034
- C. Heinrich-Mertsching, T. Fissler (2022). Is the mode elicitable relative to unimodal distributions? Biometrika 109 (4), 1157–1164
2021
- T. Fissler, J. F. Ziegel (2021). On the elicitability of range value at risk. Statistics & Risk Modeling 25 (1–2), 25–46
- T. Fissler, J. Hlavinová, B. Rudloff (2021). Elicitability and Identifiability of Systemic Risk Measures. Finance and Stochastics 25 (1), 133–165
- T. Fissler, R. Frongillo, J. Hlavinová, B. Rudloff (2021). Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals. Electronic Journal of Statistics 15 (1), 1034–1084
2019
- T. Fissler, J. F. Ziegel (2019). Order-Sensitivity and Equivariance of Scoring Functions. Electronic Journal of Statistics 13 (1), 1166–1211
2017
- T. Fissler, M. Podolskij (2017). Testing the maximal rank of the volatility process for continuous diffusions observed with noise. Bernoulli 23 (4B), 3021–3066
2016
- T. Fissler, J. F. Ziegel (2016). Higher order elicitability and Osband’s principle. Annals of Statistics 44 (4), 1680–1707
Correction note with Supplement - T. Fissler, J. F. Ziegel, T. Gneiting (2016). Expected Shortfall is jointly elicitable with Value at Risk – Implications for backtesting. Risk Magazine, January 2016, 58–61
Free preprint version - T. Fissler, C. Thäle (2016). A four moments theorem for Gamma limits on a Poisson chaos. ALEA, Lat. Am. J. Probab. Math. Stat. 13 (1), 163–192
Correction note
Thesis
T. Fissler (2017). On Higher Order Elicitability and Some Limit Theorems on the Poisson and Wiener Space. PhD thesis, University of Bern.
Book Review
T. Fissler (2018). Book review "Probability, Statistics and Econometrics'' by Oliver Linton, Academic Press. The American Statistician 72, 208–209