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Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

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

Inference for extremal regression with dependent heavy-tailed data

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

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

ExpectHill estimation, extreme risk and heavy tails

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10012618802

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

Extremile regression

Daouia, Abdelaati; Gijbels, Irène; Stupfler, Gilles - 2021

Persistent link: https://www.econbiz.de/10012434749

Assessing coherent Value-at-Risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - Toulouse School of Economics (TSE) - 2015

The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The alternative family of expectiles is based on squared rather than absolute error loss minimization. The exibility and virtues of these least squares analogues of quantiles are...

Persistent link: https://www.econbiz.de/10011262946

Tail expectile process and risk assessment

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018

Persistent link: https://www.econbiz.de/10013490908

ExpectHill estimation, extreme risk and heavy tails

Daouia, Abdelaati; Girard, Stéphane; Stupffer, Gilles - 2018

Persistent link: https://www.econbiz.de/10013492959

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