IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1704.07152.html
   My bibliography  Save this paper

Asymptotic multivariate expectiles

Author

Listed:
  • V'eronique Maume-Deschamps

    (ICJ)

  • Didier Rulli`ere

    (SAF)

  • Khalil Said

Abstract

In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent tails, we propose an estimator of these multivariate asymptotic expectiles, in the Fr{\'e}chet attraction domain case, with asymptotic independence, or in the comonotonic case.

Suggested Citation

  • V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2017. "Asymptotic multivariate expectiles," Papers 1704.07152, arXiv.org, revised Jan 2018.
    • Handle: RePEc:arx:papers:1704.07152
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1704.07152
    File Function: Latest version
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Joe, Harry & Li, Haijun & Nikoloulopoulos, Aristidis K., 2010. "Tail dependence functions and vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 252-270, January.
    2. Claudia Klüppelberg & Gabriel Kuhn & Liang Peng, 2008. "Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 701-718, December.
    3. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate extensions of expectiles risk measures," Post-Print hal-01478930, HAL.
    4. Fabio Bellini & Elena Di Bernardino, 2017. "Risk management with expectiles," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 487-506, May.
    5. Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
    6. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    7. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
    8. Weng, Chengguo & Zhang, Yi, 2012. "Characterization of multivariate heavy-tailed distribution families via copula," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 178-186.
    9. Fabio Bellini & Valeria Bignozzi, 2015. "On elicitable risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 725-733, May.
    10. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
    11. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mustapha Rachdi & Ali Laksaci & Noriah M. Al-Kandari, 2022. "Expectile regression for spatial functional data analysis (sFDA)," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(5), pages 627-655, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
    2. Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
    3. Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    4. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    5. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    6. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
    7. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
    8. Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
    9. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
    10. Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni, 2018. "Conditional expectiles, time consistency and mixture convexity properties," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 117-123.
    11. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
    12. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    13. Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
    14. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
    15. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
    16. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
    17. Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
    18. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
    19. Hashorva, Enkelejd, 2019. "Approximation of some multivariate risk measures for Gaussian risks," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 330-340.
    20. Tobias Fissler & Jana Hlavinová & Birgit Rudloff, 2021. "Elicitability and identifiability of set-valued measures of systemic risk," Finance and Stochastics, Springer, vol. 25(1), pages 133-165, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1704.07152. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.