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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"Working papers / TSE : WP"
~isPartOf:"Working papers"
~person:"Stupfler, Gilles"
~subject:"Scientific modelling"
~subject:"Statistical distribution"
~type_genre:"Working Paper"
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Stochastischer Prozess
Volatility
Scientific modelling
Statistical distribution
Estimation theory
7
Schätztheorie
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Ausreißer
5
Outliers
5
Statistische Verteilung
5
Extreme values
4
Expectiles
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Heavy tails
3
Induktive Statistik
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Regression analysis
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Regressionsanalyse
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Risikomaß
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Risk measure
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Statistical inference
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Asymptotic normality
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heavy tails
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Asymmetric least squares
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Bias
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Bias correction
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Capital income
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Conditional quantiles
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Dependent observations
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Estimation
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Extrapolation
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Extremes
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Inference
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Kapitaleinkommen
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Lp optimization
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Mixing
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Portfolio selection
1
Portfolio-Management
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Probability theory
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Quantiles
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Regression extremiles
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Regression quantiles
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Stupfler, Gilles
Daouia, Abdelaati
6
Casarin, Roberto
3
Corradin, Fausto
3
Costa, Manon
3
Gadat, Sébastien
3
Sartore, Domenico
3
Silva, Mathias
3
Girard, Stéphane
2
Kim, Jihyun
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Leon-Gonzalez, Roberto
2
Padoan, Simone A.
2
Usseglio-Carleve, Antoine
2
Afonso, António
1
Ahelegbey, Daniel Felix
1
Baiaman, Elnura
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Bercu, Bernard
1
Billio, Monica
1
Conrad, Christian
1
Conti, Pier Luigi
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Engle, Robert F.
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Gaillac, Christophe
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Gautier, Eric
1
Gonnord, Pauline
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Guerrero Escobar, Santiago
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Hernández del Valle, Gerardo
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Hernández, Juan Ramón
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Jalles, João Tovar
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Juárez Torres, Miriam
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Lubrano, Michel
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Majoni, Blessings
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Maréchal, P.
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Meddahi, Nour
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Park, Joon Y.
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Pittau, Maria Grazia
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Ravazzolo, Francesco
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Risser, Laurent
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Simar, Léopold
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Stupffer, Gilles
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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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2
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
Saved in:
3
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
Saved in:
4
Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati
;
Stupfler, Gilles
;
Usseglio-Carleve, …
-
2022
Persistent link: https://www.econbiz.de/10013170015
Saved in:
5
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
Saved in:
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