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Tail expectile-VaR estimation...
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Understanding world economy dynamics based on indicators and events
Abbas, Yasser
;
Daouia, Abdelaati
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2023
Persistent link: https://www.econbiz.de/10014335052
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Tail expectile process and risk assessment
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
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2018
Persistent link: https://www.econbiz.de/10013490908
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Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2015
Persistent link: https://www.econbiz.de/10011302290
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4
Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
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2017
Persistent link: https://www.econbiz.de/10012266461
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5
Extremile regression
Daouia, Abdelaati
;
Gijbels, Irène
;
Stupfler, Gilles
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2021
Persistent link: https://www.econbiz.de/10012434749
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6
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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7
An expectile computation cookbook
Daouia, Abdelaati
;
Stupfler, Gilles
;
Usseglio-Carleve, …
-
2023
Persistent link: https://www.econbiz.de/10014326936
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8
Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles
Daouia, Abdelaati
;
Stupfler, Gilles
;
Usseglio-Carleve, …
-
2023
Persistent link: https://www.econbiz.de/10014286699
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9
Extremile regression
Daouia, Abdelaati
;
Stupfler, Gilles
-
2024
Persistent link: https://www.econbiz.de/10014636054
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10
Extreme expectile estimation for short-tailed data
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
- In:
Journal of econometrics
241
(
2024
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10015075192
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