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Tail expectile process and risk assessment
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018
Persistent link: https://www.econbiz.de/10013490908
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Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017
Persistent link: https://www.econbiz.de/10012266461
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupffer, Gilles - 2018
Persistent link: https://www.econbiz.de/10013492959
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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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A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024
Persistent link: https://www.econbiz.de/10015097279
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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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Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022
Persistent link: https://www.econbiz.de/10013170008
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Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2022
Persistent link: https://www.econbiz.de/10013170015
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Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2023
Persistent link: https://www.econbiz.de/10014227990
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Risk measures beyond quantiles
Daouia, Abdelaati; Stupfler, Gilles - 2025
Persistent link: https://www.econbiz.de/10015361714