Estimation of Tail Risk Based on Extreme Expectiles

DOI10.1111/RSSB.12254zbMATH Open1383.62235OpenAlexW2346600303MaRDI QIDQ4607209FDOQ4607209

Authors: Abdelaati Daouia, Stéphane Girard, Gilles Stupfler 

Publication date: 13 March 2018

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/25668/1/wp_tse_566_2017.pdf

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zbMATH Keywords

heavy tailsextreme valuesmarginal expected shortfallvalue at riskexpectilesextrapolationcoherencyasymmetric squared loss

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (64)

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

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