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
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- A simple general approach to inference about the tail of a distribution
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Adaptive estimates of parameters of regular variation
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Asymmetric Least Squares Estimation and Testing
- Bias correction in extreme value statistics with index around zero
- Coherence and elicitability
- Coherent measures of risk
- 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
- Expectile asymptotics
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme value theory. An introduction.
- Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions
- Generalized quantiles as risk measures
- Geoadditive expectile regression
- Handbook of economic forecasting. Volume 1
- Heavy-Tail Phenomena
- How to make a Hill plot.
- Kernel estimators for the second order parameter in extreme value statistics
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- Regression Quantiles
- Second order regular variation and conditional tail expectation of multiple risks
- Smoothing the Hill Estimator
- Statistical inference for expectile-based risk measures
- Statistics of Extremes
- Tail expectile process and risk assessment
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
Cited in
(21)- When Heavy Tails Disrupt Statistical Inference
- Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
- 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
- Efficient distributed estimation for expectile regression in increasing dimensions
- 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
- Nonparametric estimation of conditional expectile-based risk measures
- 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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