Estimation of Tail Risk Based on Extreme Expectiles
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Publication:4607209
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Cited in
(64)- Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
- Inference for extremal regression with dependent heavy-tailed data
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Nonparametric estimation of expectile regression in functional dependent data
- Nonparametric inference for VaR, CTE, and expectile with high-order precision
- Statistical inference in the partial functional linear expectile regression model
- On expectile-assisted inverse regression estimation for sufficient dimension reduction
- On high level exceedance modeling and tail inference
- Local linear estimate of the functional expectile regression
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Statistical inference for expectile-based risk measures
- Retire: robust expectile regression in high dimensions
- Multivariate expectile-based distribution: properties, Bayesian inference, and applications
- Generalized quantiles as risk measures
- Semi-parametric estimation of multivariate extreme expectiles
- Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- Extremes for multivariate expectiles
- Tail expectile process and risk assessment
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- New extreme value theory for maxima of maxima
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Shadow prices and marginal abatement costs: convex quantile regression approach
- Extremile Regression
- Principal component analysis in an asymmetric norm
- A refined Weissman estimator for extreme quantiles
- ExpectHill estimation, extreme risk and heavy tails
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- An energy-based measure for long-run horizon risk quantification
- Extreme $$L^p$$-quantile Kernel Regression
- INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
- An elastic-net penalized expectile regression with applications
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
- Asymptotics of sum of heavy-tailed risks with copulas
- Extremiles: A New Perspective on Asymmetric Least Squares
- The \(k\)th power expectile estimation and testing
- On automatic bias reduction for extreme expectile estimation
- Optimal model averaging estimator for expectile regressions
- Expectile regression for spatial functional data analysis (sFDA)
- TERES: tail event risk expectile shortfall
- Risk concentration based on expectiles for extreme risks under FGM copula
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Multivariate \(\rho \)-quantiles: a spatial approach
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
- Tail risk inference via expectiles in heavy-tailed time series
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- On the estimation of the variability in the distribution tail
- Simultaneous Semiparametric Estimation of Clustering and Regression
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Performance measurement with expectiles
- Asymptotic normality of the local linear estimator of the functional expectile regression
- Estimation of the adjusted standard-deviatile for extreme risks
- Multivariate extensions of expectiles risk measures
- Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
- Testing Granger non-causality in expectiles
- An expectile computation cookbook
- Measuring risks in the tail: The extreme VaR and its confidence interval
- Estimating extreme probabilities using tail simulated data
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