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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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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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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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Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
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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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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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Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
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Tail expectile process and risk assessment
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018
Persistent link: https://www.econbiz.de/10013490908