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

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