Estimation of Tail Risk based on Extreme Expectiles
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- Abdelaati Daouia & Stéphane Girard & Gilles Stupfler, 2018. "Estimation of tail risk based on extreme expectiles," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(2), pages 263-292, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- George Tzagkarakis & Frantz Maurer, 2020. "An energy-based measure for long-run horizon risk quantification," Annals of Operations Research, Springer, vol. 289(2), pages 363-390, June.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
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More about this item
KeywordsAsymmetric squared loss; Coherent Value-at-Risk; Expected shortfall; Expectiles; Extrapolation; Extreme value theory; Heavy tails;
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