ExpectHill estimation, extreme risk and heavy tails (Q2225005)
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scientific article; zbMATH DE number 7306295
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| English | ExpectHill estimation, extreme risk and heavy tails |
scientific article; zbMATH DE number 7306295 |
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ExpectHill estimation, extreme risk and heavy tails (English)
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4 February 2021
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asymmetric least squares
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coherent risk measures
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expected shortfall
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expectile
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extrapolation
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extremes
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heavy tails
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tail index
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0.9007930159568788
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0.8873710632324219
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0.8628323674201965
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0.8586997985839844
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