ExpectHill estimation, extreme risk and heavy tails
Year of publication: |
2021
|
---|---|
Authors: | Daouia, Abdelaati ; Girard, Stéphane ; Stupfler, Gilles |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 221.2021, 1, p. 97-117
|
Subject: | Asymmetric least squares | Coherent risk measures | Expected shortfall | Expectile | Extrapolation | Extremes | Heavy tails | Tail index | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Ausreißer | Outliers | Schätztheorie | Estimation theory | Risiko | Risk | Messung | Measurement |
-
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati, (2018)
-
Tail expectile process and risk assessment
Daouia, Abdelaati, (2018)
-
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun, (2021)
- More ...
-
Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati, (2015)
-
Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati, (2017)
-
Assessing coherent Value-at-Risk and expected shortfall with extreme expectiles
Daouia, Abdelaati, (2015)
- More ...