We propose a semiparametric estimator to determine the effects of explanatory variables on the conditional interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the underlying random variables. IQE is the expected value of the...

Tail expectations have recently attracted much attention in economics for their ability to capture risk. We develop a semiparametric estimator for the joint estimation of (nonlinear) models of tail expectations with some tail quantile as left or right threshold, and interquantile expectations,...