ExpectHill estimation, extreme risk and heavy tails
DOI10.1016/J.JECONOM.2020.02.003zbMATH Open1464.62279OpenAlexW2886023356MaRDI QIDQ2225005FDOQ2225005
Stéphane Girard, Abdelaati Daouia, Gilles Stupfler
Publication date: 4 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/34206/1/expecthil.pdf
Recommendations
expected shortfallheavy tailsexpectileextrapolationextremestail indexasymmetric least squarescoherent risk measures
Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Regression Quantiles
- Coherent measures of risk
- Statistics of Extremes
- Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
- Extreme value theory. An introduction.
- Asymmetric Least Squares Estimation and Testing
- Title not available (Why is that?)
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Generalized quantiles as risk measures
- Coherence and elicitability
- M-quantiles
- Geoadditive expectile regression
- Title not available (Why is that?)
- Statistical Inference for Expectile‐based Risk Measures
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- How to make a Hill plot.
- Tail expectile process and risk assessment
- Bias correction in extreme value statistics with index around zero
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Handbook of economic forecasting. Volume 1
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of Tail Risk Based on Extreme Expectiles
- Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
- Heavy-Tail Phenomena
- Kernel estimators for the second order parameter in extreme value statistics
- Smoothing the Hill Estimator
- Second order regular variation and conditional tail expectation of multiple risks
- Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
- Expectile asymptotics
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
Cited In (10)
- Parametric expectile regression and its application for premium calculation
- Extreme $$L^p$$-quantile Kernel Regression
- On automatic bias reduction for extreme expectile estimation
- 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
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Estimation of the adjusted standard-deviatile for extreme risks
- Performance measurement with expectiles
- An expectile computation cookbook
Uses Software
This page was built for publication: ExpectHill estimation, extreme risk and heavy tails
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2225005)
