Tail expectile-VaR estimation in the semiparametric Generalized Pareto model
Yasser Abbas, Abdelaati Daouia, Boutheina Nemouchi & Gilles Stupfler
| Year of publication: |
January 2025
|
|---|---|
| Authors: | Abbas, Yasser ; Daouia, Abdelaati ; Nemouchi, Boutheina ; Stupfler, Gilles |
| Publisher: |
[Toulouse] : [Toulouse School of Economics] |
| Subject: | Expectile | Extreme risk | Generalized Pareto model | Heavy tails | Semiparametric extrapolation | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Pareto-Optimum | Pareto efficiency | Risiko | Risk |
freely available
| Extent: | 1 Online-Ressource (circa 45 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / TSE : WP. - Toulouse, ZDB-ID 2816658-9. - Vol. no 1607 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015192022