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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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Daily growth at risk : financial or real drivers? : the answer is not always the same
Chuliá, Helena; Garron, Ignacio; Uribe, Jorge - In: International journal of forecasting 40 (2024) 2, pp. 762-776
Persistent link: https://www.econbiz.de/10014547204
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Evaluating quantile-bounded and expectile-bounded interval forecasts
Taylor, James W. - In: International journal of forecasting 37 (2021) 2, pp. 800-811
Persistent link: https://www.econbiz.de/10012792870
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Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella; Torri, Gabriele; Paterlini, Sandra - In: Quantitative finance 21 (2021) 2, pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
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Extremiles, quantiles and expectiles in the tails
Furno, Marilena - In: The journal of computational finance : JFC 27 (2023) 3, pp. 87-113
Persistent link: https://www.econbiz.de/10014487044
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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
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Geoadditive expectile regression
Sobotka, Fabian; Kneib, Thomas - In: Computational Statistics & Data Analysis 56 (2012) 4, pp. 755-767
Quantile regression has emerged as one of the standard tools for regression analysis that enables a proper assessment of the complete conditional distribution of responses even in the presence of heteroscedastic errors. Quantile regression estimates are obtained by minimising an asymmetrically...
Persistent link: https://www.econbiz.de/10010574456
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Haezendonck–Goovaerts risk measures and Orlicz quantiles
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 107-114
Haezendonck–Goovaerts risk measure. Since Orlicz quantiles fail to satisfy an internality property, bilateral Orlicz quantiles are …
Persistent link: https://www.econbiz.de/10011046606
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Relating quantiles and expectiles under weighted-symmetry
Abdous, Belkacem; Remillard, Bruno - In: Annals of the Institute of Statistical Mathematics 47 (1995) 2, pp. 371-384
Persistent link: https://www.econbiz.de/10005395756
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Tests of time-invariance
Busettti, F.; Harvey, A. - Faculty of Economics, University of Cambridge - 2007
-tailed. Tests for changing dispersion and asymmetry may be based on contrasts between particular quantiles or expectiles. We report …Quantiles provide a comprehensive description of the properties of a variable and tracking changes in quantiles over … based on expectiles are also proposed; these might be expected to be more powerful for distributions that are not heavy …
Persistent link: https://www.econbiz.de/10005113854