Nonparametric estimation of conditional expectile-based risk measures
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Cites work
- M-quantiles
- Alternative fixed-effects panel model using weighted asymmetric least squares regression
- An expectile computation cookbook
- Asymmetric Least Squares Estimation and Testing
- Asymmetric least squares regression estimation: A nonparametric approach∗
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- Coherence and elicitability
- Coherent measures of risk
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- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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- ExpectHill estimation, extreme risk and heavy tails
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- Expectile regression averaging method for probabilistic forecasting of electricity prices
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- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- Local polynomial expectile regression
- Making and evaluating point forecasts
- Multivariate expectile-based distribution: properties, Bayesian inference, and applications
- Multivariate geometric expectiles
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- On automatic bias reduction for extreme expectile estimation
- On elicitable risk measures
- Optimal expectile smoothing
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- Partially Linear Expectile Regression Using Local Polynomial Fitting
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- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
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- Statistics of Extremes
- Tail expectile process and risk assessment
- Testing Granger non-causality in expectiles
- Testing heteroscedasticity in nonparametric regression models based on residual analysis
- Weak convergence of quantile and expectile processes under general assumptions
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