Similar Search Results

Tail risk inference via expectiles in heavy-tailed time series

Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889

Persistent link: https://www.econbiz.de/10014448453

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

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192

Persistent link: https://www.econbiz.de/10014317144

Statistics of extremes under random censoring

Einmahl, John H. J. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003343884

Statistics of Extremes Under Random Censoring

Einmahl, John H. J.; Fils-Villetard, Amélie; Guillou, … - 2006

We investigate the estimation of the extreme value index, when the data are subject to random censorship. We prove in a unified way detailed asymptotic normality results for various estimators of the extreme value index and use these estimators as the main building block for estimators of...

Persistent link: https://www.econbiz.de/10014056824