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  • Search: subject:"Expectile"
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Year of publication
Subject
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expectile 16 expectile regression 13 Risiko 12 Expectile 11 Risk 11 Schätztheorie 11 Estimation theory 10 Regression analysis 9 Regressionsanalyse 9 Risikomaß 8 Risk measure 8 Theorie 8 Bootstrap 7 Theory 7 quantile 7 Statistical distribution 6 Statistische Verteilung 6 fMRI 6 Estimation 5 Expected Shortfall 5 Goodness-of-fit tests 5 Nichtparametrisches Verfahren 5 Nonparametric statistics 5 Portfolio selection 5 Portfolio-Management 5 Schätzung 5 asymmetric norm 5 dimension reduction 5 principal components 5 quantile treatment effect 5 smoothing and nonparametric regression 5 Risikomanagement 4 Risk management 4 multivariate functional data 4 nuclear norm regularizer 4 risk perception 4 temperature 4 Asymmetric least squares 3 Causality analysis 3 Expected shortfall 3
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Online availability
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Free 52 CC license 2
Type of publication
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Book / Working Paper 41 Article 11
Type of publication (narrower categories)
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Working Paper 27 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Article in journal 7 Aufsatz in Zeitschrift 7 Article 4
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Language
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English 40 Undetermined 11 French 1
Author
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Härdle, Wolfgang Karl 11 Härdle, Wolfgang 10 Chao, Shih-Kang 6 Osipenko, Maria 5 Tran, Ngoc Mai 5 Hamidi, Benjamin 4 Huang, Chen 4 Maillet, Bertrand 4 Daouia, Abdelaati 3 Dette, Holger 3 Eckardt, Matthias 3 Proksch, Katharina 3 Stahlschmidt, Stephan 3 Tong, Howell 3 Yao, Qiwei 3 Anastasiadou, Zografia 2 Boortz, Christopher 2 Burdejová, Petra 2 Cai, Zongwu 2 Cicia, Gianni 2 Czado, Claudia 2 Del Giudice, Teresa 2 Duran, Esra Akdeniz 2 Fang, Ying 2 Fischer, Matthias 2 Furno, Marilena 2 Girard, Stéphane 2 Guo, Mengmeng 2 Jurkatis, Simon 2 Kouontchou, Patrick 2 Kratz, Marie 2 Kraus, Daniel 2 Kremer, Stephanie 2 Li, Yingxing 2 Lu, Meng-Jou 2 López Cabrera, Brenda 2 Melzer, Awdesch 2 Nautz, Dieter 2 Pfeuffer, Marius 2 Prigent, Jean-Luc 2
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 5 HAL 3 School of Economics and Finance, Business School 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 London School of Economics (LSE) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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SFB 649 Discussion Paper 10 SFB 649 discussion paper 8 SFB 649 Discussion Papers 5 IRTG 1792 Discussion Paper 3 Working papers / TSE : WP 3 Post-Print / HAL 2 Risks : open access journal 2 School of Economics and Finance Discussion Papers and Working Papers Series 2 Working papers series in theoretical and applied economics 2 Agricultural and Food Economics 1 Agricultural and Food Economics : AFE 1 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Decisions in economics and finance : a journal of applied mathematics 1 Documents de travail du Centre d'Economie de la Sorbonne 1 Econometric reviews 1 IRTG 1792 discussion paper 1 Journal of Applied Econometrics 1 LSE Research Online Documents on Economics 1 MPRA Paper 1 Quantitative finance 1 Risks 1 Statistical Papers 1 Working Papers / HAL 1 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 1
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Source
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ECONIS (ZBW) 21 EconStor 17 RePEc 14
Showing 1 - 10 of 52
Did you mean: subject:"expertise" (405 results)
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Tail expectile-VaR estimation in the semiparametric Generalized Pareto model
Abbas, Yasser; Daouia, Abdelaati; Nemouchi, Boutheina; … - 2025
Persistent link: https://www.econbiz.de/10015192022
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Testing Granger non-causality in expectiles
Bouezmarni, Taoufik; Doukali, Mohamed; Taamouti, Abderrahim - In: Econometric reviews 43 (2024) 1, pp. 30-51
Persistent link: https://www.econbiz.de/10014486380
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How do empirical estimators of popular risk measures impact pro-cyclicality?
Bräutigam, Marcel; Kratz, Marie - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 547-579
Persistent link: https://www.econbiz.de/10014436789
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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 23 (2023) 10, pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
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Bidual representation of expectiles
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 11 (2023) 12, pp. 1-21
contrast, expectile risk measures are not as widely used, even though they are both coherent and elicitable. This paper … optimization problems involving expectile-linked constraints, relate expectiles with VaR and CVaR by means of both equalities and …
Persistent link: https://www.econbiz.de/10014446781
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Stochastic orders and measures of skewness and dispersion based on expectiles
Eberl, Andreas; Klar, Bernhard - In: Statistical Papers 64 (2022) 2, pp. 509-527
Recently, expectile-based measures of skewness akin to well-known quantile-based skewness measures have been introduced … interexpectile distances. We introduce orders of variability based on these quantities and show that the so-called weak expectile …
Persistent link: https://www.econbiz.de/10015179199
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Performance measurement with expectiles
Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 343-374
Persistent link: https://www.econbiz.de/10013380572
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Interpretation of point forecasts with unknown directive
Schmidt, Patrick; Katzfuss, Matthias; Gneiting, Tilmann - In: Journal of Applied Econometrics 36 (2021) 6, pp. 728-743
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we...
Persistent link: https://www.econbiz.de/10014485961
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Financial Risk Meter based on expectiles
Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021
tail loss given a stress situation in the network. The expectile variant of the FRM enjoys several advantages: Firstly, the … coherent and multivariate tail risk indicator conditional expectile-based VaR (CoEVaR) can be derived, which is sensitive to …
Persistent link: https://www.econbiz.de/10012504529
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Do consumers' values and attitudes affect food retailer choice? Evidence from a national survey on farmers' market in Germany
Cicia, Gianni; Furno, Marilena; Del Giudice, Teresa - In: Agricultural and Food Economics 9 (2021) 1, pp. 1-21
New trends in food consumption are shaping consumers' preferences and buying behavior. Non-traditional food retailing and short supply chains (SSCs) are offering bundles of attributes that fit the needs of larger consumers' segments. Several studies have analyzed factors affecting the choice of...
Persistent link: https://www.econbiz.de/10012613874
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