Generalized quantiles as risk measures
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Publication:2015471
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- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Estimation of Tail Risk Based on Extreme Expectiles
- Dual representation of expectile-based expected shortfall and its properties
- Statistical inference for expectile-based risk measures
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Cited in
(only showing first 100 items - show all)- Local polynomial expectile regression
- Tail risk inference via expectiles in heavy-tailed time series
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- Statistical inference for expectile-based risk measures
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- Expectile regression via deep residual networks
- Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
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