Tail expectile process and risk assessment
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Publication:2278671
DOI10.3150/19-BEJ1137zbMath1441.62263MaRDI QIDQ2278671
Gilles Stupfler, Stéphane Girard, Abdelaati Daouia
Publication date: 5 December 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1574758837
extrapolationheavy tailstail indexcoherent risk measuresexpected shortfallextremesasymmetric least squaresexpectile
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05) Financial markets (91G15)
Related Items (20)
Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮ Performance measurement with expectiles ⋮ On automatic bias reduction for extreme expectile estimation ⋮ GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series ⋮ Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles ⋮ Partially Linear Expectile Regression Using Local Polynomial Fitting ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ A refined Weissman estimator for extreme quantiles ⋮ Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data ⋮ ExpectHill estimation, extreme risk and heavy tails ⋮ ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION ⋮ Dual representation of expectile-based expected shortfall and its properties ⋮ Tail expectile process and risk assessment ⋮ Tail risk inference via expectiles in heavy-tailed time series ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ On the estimation of the variability in the distribution tail ⋮ The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮ Extreme $$L^p$$-quantile Kernel Regression ⋮ Nonparametric estimation of expectile regression in functional dependent data
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