ExpectHill estimation, extreme risk and heavy tails (Q2225005): Difference between revisions

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+Coherent Measures of Risk
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+Statistics of Extremes
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+Generalized quantiles as risk measures
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+<i>M</i>-quantiles
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+Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
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+Bias correction in extreme value statistics with index around zero
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+Estimation of Tail Risk Based on Extreme Expectiles
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+Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
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+Tail expectile process and risk assessment
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+Weighted approximations of tail processes for \(\beta\)-mixing random variables.
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+Q4410085
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+Extreme quantile estimation for dependent data, with applications to finance
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+How to make a Hill plot.
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+Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
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+Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
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+Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
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+Q4343010
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+Kernel estimators for the second order parameter in extreme value statistics
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+Extreme Value Theory and Statistics of Univariate Extremes: A Review
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+A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
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+Q5485944
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+Adaptive estimates of parameters of regular variation
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+A simple general approach to inference about the tail of a distribution
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+Expectile asymptotics
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+Second order regular variation and conditional tail expectation of multiple risks
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+Regression Quantiles
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+Statistical Inference for Expectile‐based Risk Measures
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+Assessing value at risk with CARE, the conditional autoregressive expectile models
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+ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
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+Asymmetric Least Squares Estimation and Testing
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+Heavy-Tail Phenomena
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+Smoothing the Hill Estimator
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+Geoadditive expectile regression
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+Handbook of economic forecasting. Volume 1
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+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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+COHERENCE AND ELICITABILITY
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