Search Results - subject:"Expectiles"

Testing Granger non-causality in expectiles

Bouezmarni, Taoufik; Doukali, Mohamed; Taamouti, Abderrahim - In: Econometric reviews 43 (2024) 1, pp. 30-51

Persistent link: https://www.econbiz.de/10014486380

An expectile computation cookbook

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014326936

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

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

Inference for extremal regression with dependent heavy-tailed data

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2022

Persistent link: https://www.econbiz.de/10013170015

An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile

Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014578542

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

Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution

Bignozzi, Valeria; Merlo, Luca; Petrella, Lea - In: Insurance : mathematics and economics 116 (2024), pp. 44-50

Persistent link: https://www.econbiz.de/10015066778

Analysis and forecasting of risk in count processes

Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

Risk measures are commonly used to prepare for a prospective occurrence of an adverse event. If we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economic events, then the required risk forecasts are...

Persistent link: https://www.econbiz.de/10012611739

Financial Risk Meter based on expectiles

Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021

here extend it by incorporating the idea of expectiles, thus indicating not only the tail probability but rather the actual …

Persistent link: https://www.econbiz.de/10012504529