Stahlschmidt, Stephan; Eckardt, Matthias; Härdle, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
mechanism. The underlying quantile regression is based on a L1{loss function and we propose the technique of expectile treatment … eects, which relies on expectile regression with its L2{loss function. It is shown, that apart from the extreme tail ends … expectile treatment eects provide more ecient estimates and these theoretical results are broadened by a simulation and …