Tail risk inference via expectiles in heavy-tailed time series (Q135350): Difference between revisions
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Revision as of 09:01, 30 July 2024
scientific article from arXiv
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risk inference via expectiles in heavy-tailed time series |
scientific article from arXiv |
Statements
8 April 2020
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6 March 2024
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stat.ME
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math.ST
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stat.TH
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Tail Risk Inference via Expectiles in Heavy-Tailed Time Series (English)
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asymmetric least squares estimation
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marginal expected shortfall
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mixing
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tail copula
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weak dependence
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