Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
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Cites work
- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- Assessing value at risk with CARE, the conditional autoregressive expectile models
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- Estimation of high conditional quantiles using the Hill estimator of the tail index
- Extremal quantile regression
- Extreme Quantile Estimation for Autoregressive Models
- Extreme value modelling of water-related insurance claims
- Functional nonparametric estimation of conditional extreme quantiles
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- Geoadditive expectile regression
- Improving precipitation forecasts using extreme quantile regression
- Optimal reinsurance with expectile
- Regression Quantiles
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistics of heteroscedastic extremes
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- Using a bootstrap method to choose the sample fraction in tail index estimation
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