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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
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Measuring firm performance using nonparametric quantile-type distances
Daouia, Abdelaati; Simar, Léopold; Wilson, Paul W. - In: Econometric reviews 36 (2017) 1/3, pp. 156-181
Persistent link: https://www.econbiz.de/10011795039
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Frontier estimation and extreme values theory
Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold - 2010
Persistent link: https://www.econbiz.de/10003984738
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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
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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
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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
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Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2022
Persistent link: https://www.econbiz.de/10013170015
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On the tail heaviness of secondary case numbers and cluster sizes for SARS-CoV-2
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2022
Persistent link: https://www.econbiz.de/10013170019
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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
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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