ExpectHill estimation, extreme risk and heavy tails
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1944037 (Why is no real title available?)
- M-quantiles
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- Coherent measures of risk
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Cited in
(17)- Parametric expectile regression and its application for premium calculation
- Statistical inference for expectile-based risk measures
- Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Extremes for multivariate expectiles
- Tail expectile process and risk assessment
- Extreme $$L^p$$-quantile Kernel Regression
- On automatic bias reduction for extreme expectile estimation
- TERES: tail event risk expectile shortfall
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Estimation of Tail Risk Based on Extreme Expectiles
- Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Performance measurement with expectiles
- Estimation of the adjusted standard-deviatile for extreme risks
- An expectile computation cookbook
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