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Gilles STUPFLER

Personal Details

First Name:Gilles
Middle Name:
Last Name:Stupfler
Suffix:
RePEc Short-ID:pst699
[This author has chosen not to make the email address public]
https://math.univ-angers.fr/~stupfler

Affiliation

Université d'Angers - Faculté des Sciences, Département de Mathématiques

https://math.univ-angers.fr/
Angers

Research output

as
Jump to: Working papers Articles

Working papers

  1. Tiantian Mao & Gilles Stupfler & Fan Yang, 2024. "Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks," Papers 2411.07212, arXiv.org.
  2. Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.
  3. Abdelaati Daouia & Simone A. Padoan & Gilles Claude Stupfler, 2024. "Optimal weighted pooling for inference about the tail index and extreme quantiles," Post-Print hal-04557408, HAL.
  4. Abdelaati Daouia & Gilles Stupfler, 2024. "Extremile Regression," Post-Print hal-04697061, HAL.
  5. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024. "A unified theory of extreme Expected Shortfall inference," TSE Working Papers 24-1565, Toulouse School of Economics (TSE).
  6. Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve, 2024. "An expectile computation cookbook," Post-Print hal-04524319, HAL.
  7. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
  8. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2023. "Extreme expectile estimation for short-tailed data, with an application to market risk assessment," TSE Working Papers 23-1414, Toulouse School of Economics (TSE), revised May 2024.
  9. Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.
  10. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions," TSE Working Papers 22-1323, Toulouse School of Economics (TSE), revised 09 Mar 2023.
  11. Abdelaati Daouia & Irene Gijbels & Gilles Stupfler, 2021. "Extremile regression," Post-Print hal-03181017, HAL.
  12. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
  13. Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021. "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers 2104.09879, arXiv.org.
  14. Gilles Stupfler & Fan Yang, 2018. "Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling," Post-Print hal-04464416, HAL.
  15. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
  16. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "ExpectHill estimation, extreme risk and heavy tails," TSE Working Papers 18-953, Toulouse School of Economics (TSE).
  17. 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).
  18. Gilles Stupfler, 2016. "Estimating the conditional extreme-value index under random right-censoring," Post-Print hal-01446199, HAL.
  19. Gilles Stupfler, 2016. "On the weak convergence of the kernel density estimator in the uniform topology," Post-Print hal-01447844, HAL.
  20. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2015. "Estimation of Tail Risk based on Extreme Expectiles," TSE Working Papers 15-566, Toulouse School of Economics (TSE), revised Jul 2017.
  21. Simos G. Meintanis & Gilles Stupfler, 2015. "Transformations to symmetry based on the probability weighted characteristic function," Post-Print hal-01457397, HAL.
  22. Laurent Gardes & Gilles Stupfler, 2015. "Erratum to: Estimating extreme quantiles under random truncation," Post-Print hal-01456099, HAL.
  23. Gilles Stupfler, 2014. "On the weak convergence of kernel density estimators in Lp spaces," Post-Print hal-01474248, HAL.
  24. Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Post-Print hal-00589696, HAL.
    repec:hal:journl:hal-04022737 is not listed on IDEAS
    repec:hal:journl:hal-01456111 is not listed on IDEAS

Articles

  1. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024. "Extreme expectile estimation for short-tailed data," Journal of Econometrics, Elsevier, vol. 241(2).
  2. Mao, Tiantian & Stupfler, Gilles & Yang, Fan, 2023. "Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 173-192.
  3. Anthony C. Davison & Simone A. Padoan & Gilles Stupfler, 2023. "Tail Risk Inference via Expectiles in Heavy-Tailed Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 876-889, July.
  4. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
  5. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
  6. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
  7. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
  8. Michael Falk & Gilles Stupfler, 2021. "The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 254-282, February.
  9. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
  10. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
  11. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2019. "Extremiles: A New Perspective on Asymmetric Least Squares," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1366-1381, July.
  12. Falk Michael & Stupfler Gilles, 2019. "On a class of norms generated by nonnegative integrable distributions," Dependence Modeling, De Gruyter, vol. 7(1), pages 259-278, January.
  13. 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.
  14. El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.
  15. Stupfler, Gilles & Yang, Fan, 2018. "Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
  16. Falk, Michael & Stupfler, Gilles, 2017. "An offspring of multivariate extreme value theory: The max-characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 85-95.
  17. Stupfler, Gilles, 2016. "Estimating the conditional extreme-value index under random right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 1-24.
  18. Laurent Gardes & Gilles Stupfler, 2015. "Erratum to: Estimating extreme quantiles under random truncation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 228-228, June.
  19. Laurent Gardes & Gilles Stupfler, 2015. "Estimating extreme quantiles under random truncation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 207-227, June.
  20. Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2013. "Frontier estimation with kernel regression on high order moments," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 172-189.
  21. Stéphane Girard & Armelle Guillou & Gilles Stupfler, 2012. "Estimating an endpoint with high-order moments," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(4), pages 697-729, December.
  22. Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2012. "Estimating an endpoint with high order moments in the Weibull domain of attraction," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2136-2144.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.

    Cited by:

    1. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024. "A unified theory of extreme Expected Shortfall inference," TSE Working Papers 24-1565, Toulouse School of Economics (TSE).

  2. Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve, 2024. "An expectile computation cookbook," Post-Print hal-04524319, HAL.

    Cited by:

    1. Bignozzi, Valeria & Merlo, Luca & Petrella, Lea, 2024. "Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 44-50.

  3. Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2023. "Inference for extremal regression with dependent heavy-tailed data," Post-Print hal-04554050, HAL.

    Cited by:

    1. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).

  4. Abdelaati Daouia & Irene Gijbels & Gilles Stupfler, 2021. "Extremile regression," Post-Print hal-03181017, HAL.

    Cited by:

    1. Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.
    2. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    3. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
    4. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
    5. 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.
    6. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
    7. Abdelaati Daouia & Gilles Stupfler, 2024. "Extremile Regression," Post-Print hal-04697061, HAL.

  5. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.

    Cited by:

    1. N. V. Gribkova & J. Su & R. Zitikis, 2024. "Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 76(5), pages 821-850, October.
    2. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024. "Extreme expectile estimation for short-tailed data," Journal of Econometrics, Elsevier, vol. 241(2).
    3. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    4. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    5. Fatimah Alshahrani & Ibrahim M. Almanjahie & Zouaoui Chikr Elmezouar & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Functional Ergodic Time Series Analysis Using Expectile Regression," Mathematics, MDPI, vol. 10(20), pages 1-17, October.
    6. Bousebata, Meryem & Enjolras, Geoffroy & Girard, Stéphane, 2023. "Extreme partial least-squares," Journal of Multivariate Analysis, Elsevier, vol. 194(C).
    7. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "A Weissman-type estimator of the conditional marginal expected shortfall," Econometrics and Statistics, Elsevier, vol. 27(C), pages 173-196.
    8. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).
    9. Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    10. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
    11. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2023. "Extreme expectile estimation for short-tailed data, with an application to market risk assessment," TSE Working Papers 23-1414, Toulouse School of Economics (TSE), revised May 2024.
    12. Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.
    13. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
    14. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024. "A unified theory of extreme Expected Shortfall inference," TSE Working Papers 24-1565, Toulouse School of Economics (TSE).

  6. Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021. "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers 2104.09879, arXiv.org.

    Cited by:

    1. Ömer Akgüller & Mehmet Ali Balcı & Larissa M. Batrancea & Lucian Gaban, 2023. "Path-Based Visibility Graph Kernel and Application for the Borsa Istanbul Stock Network," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
    2. Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.

  7. Gilles Stupfler & Fan Yang, 2018. "Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling," Post-Print hal-04464416, HAL.

    Cited by:

    1. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Binti Abdul Halim, 2022. "Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach," Mathematics, MDPI, vol. 10(22), pages 1-22, November.

  8. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).

    Cited by:

    1. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
    2. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
    3. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
    4. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
    5. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.

  9. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "ExpectHill estimation, extreme risk and heavy tails," TSE Working Papers 18-953, Toulouse School of Economics (TSE).

    Cited by:

    1. Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
    2. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).
    3. Yundong Tu & Siwei Wang, 2023. "Variable Screening and Model Averaging for Expectile Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 574-598, June.
    4. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.
    5. Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
    6. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.

  10. 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).

    Cited by:

    1. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
    2. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.

  11. Gilles Stupfler, 2016. "Estimating the conditional extreme-value index under random right-censoring," Post-Print hal-01446199, HAL.

    Cited by:

    1. Escobar-Bach, Mikael & Van Keilegom, Ingrid, 2023. "Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up," Computational Statistics & Data Analysis, Elsevier, vol. 183(C).
    2. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    3. González-Sánchez, Mariano & Nave Pineda, Juan M., 2023. "Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement," International Review of Financial Analysis, Elsevier, vol. 86(C).
    4. Goedele Dierckx & Yuri Goegebeur & Armelle Guillou, 2021. "Local Robust Estimation of Pareto-Type Tails with Random Right Censoring," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 70-108, February.
    5. El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.
    6. Yaolan Ma & Bo Wei & Wei Huang, 2020. "A nonparametric estimator for the conditional tail index of Pareto-type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(1), pages 17-44, January.
    7. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
    8. Goegebeur, Yuri & Guillou, Armelle & Qin, Jing, 2019. "Robust estimation of the Pickands dependence function under random right censoring," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 101-114.
    9. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.

  12. Gilles Stupfler, 2016. "On the weak convergence of the kernel density estimator in the uniform topology," Post-Print hal-01447844, HAL.

    Cited by:

    1. Zheng Fang & Juwon Seo, 2019. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Papers 1910.07689, arXiv.org, revised Sep 2021.

  13. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2015. "Estimation of Tail Risk based on Extreme Expectiles," TSE Working Papers 15-566, Toulouse School of Economics (TSE), revised Jul 2017.

    Cited by:

    1. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
    2. Haoyu Chen & Kun Fan, 2022. "Tail Value-at-Risk-Based Expectiles for Extreme Risks and Their Application in Distributionally Robust Portfolio Selections," Mathematics, MDPI, vol. 11(1), pages 1-16, December.
    3. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    4. 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.
    5. George Tzagkarakis & Frantz Maurer, 2023. "Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1251-1286, October.
    6. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024. "Extreme expectile estimation for short-tailed data," Journal of Econometrics, Elsevier, vol. 241(2).
    7. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    8. 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).
    9. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
    10. Mao, Tiantian & Stupfler, Gilles & Yang, Fan, 2023. "Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 173-192.
    11. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.
    12. Man, Rebeka & Tan, Kean Ming & Wang, Zian & Zhou, Wen-Xin, 2024. "Retire: Robust expectile regression in high dimensions," Journal of Econometrics, Elsevier, vol. 239(2).
    13. Härdle, Wolfgang Karl & Ling, Chengxiu, 2018. "How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?," IRTG 1792 Discussion Papers 2018-010, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    14. Damiano Rossello, 2022. "Performance measurement with expectiles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 343-374, June.
    15. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    16. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Post-Print hal-01367277, HAL.
    17. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    18. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
    19. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    20. Daouia, Abdelaati & Paindaveine, Davy, 2019. "Multivariate Expectiles, Expectile Depth and Multiple-Output Expectile Regression," TSE Working Papers 19-1022, Toulouse School of Economics (TSE), revised Feb 2023.
    21. Hoga, Yannick, 2021. "The uncertainty in extreme risk forecasts from covariate-augmented volatility models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 675-686.
    22. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).
    23. Yundong Tu & Siwei Wang, 2023. "Variable Screening and Model Averaging for Expectile Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 574-598, June.
    24. Litimein, Ouahiba & Laksaci, Ali & Ait-Hennani, Larbi & Mechab, Boubaker & Rachdi, Mustapha, 2024. "Asymptotic normality of the local linear estimator of the functional expectile regression," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    25. Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
    26. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
    27. Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    28. Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024. "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers 2404.18029, arXiv.org.
    29. 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.
    30. Litimein, Ouahiba & Laksaci, Ali & Mechab, Boubaker & Bouzebda, Salim, 2023. "Local linear estimate of the functional expectile regression," Statistics & Probability Letters, Elsevier, vol. 192(C).
    31. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
    32. Tran, Ngoc M. & Burdejová, Petra & Ospienko, Maria & Härdle, Wolfgang K., 2019. "Principal component analysis in an asymmetric norm," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 1-21.
    33. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2023. "Extreme expectile estimation for short-tailed data, with an application to market risk assessment," TSE Working Papers 23-1414, Toulouse School of Economics (TSE), revised May 2024.
    34. Tran, Ngoc Mai & Osipenko, Maria & Härdle, Wolfgang Karl, 2014. "Principal component analysis in an asymmetric norm," SFB 649 Discussion Papers 2014-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
    36. Dylan Troop & Frédéric Godin & Jia Yuan Yu, 2022. "Best-Arm Identification Using Extreme Value Theory Estimates of the CVaR," JRFM, MDPI, vol. 15(4), pages 1-15, April.
    37. Tiantian Mao & Gilles Stupfler & Fan Yang, 2024. "Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks," Papers 2411.07212, arXiv.org.
    38. 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.
    39. Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.
    40. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
    41. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
    42. 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.
    43. 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).
    44. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
    45. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.
    46. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.
    47. Kuosmanen, Timo & Zhou, Xun, 2021. "Shadow prices and marginal abatement costs: Convex quantile regression approach," European Journal of Operational Research, Elsevier, vol. 289(2), pages 666-675.
    48. Xu Zhao & Zhongxian Zhang & Weihu Cheng & Pengyue Zhang, 2019. "A New Parameter Estimator for the Generalized Pareto Distribution under the Peaks over Threshold Framework," Mathematics, MDPI, vol. 7(5), pages 1-18, May.

  14. Simos G. Meintanis & Gilles Stupfler, 2015. "Transformations to symmetry based on the probability weighted characteristic function," Post-Print hal-01457397, HAL.

    Cited by:

    1. Hušková, Marie & Meintanis, Simos G. & Pretorius, Charl, 2020. "Tests for validity of the semiparametric heteroskedastic transformation model," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    2. Simos G. Meintanis & James Allison & Leonard Santana, 2016. "Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function," Statistical Papers, Springer, vol. 57(4), pages 957-976, December.

  15. Laurent Gardes & Gilles Stupfler, 2015. "Erratum to: Estimating extreme quantiles under random truncation," Post-Print hal-01456099, HAL.

    Cited by:

    1. Benchaira, Souad & Meraghni, Djamel & Necir, Abdelhakim, 2016. "Kernel estimation of the tail index of a right-truncated Pareto-type distribution," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 186-193.
    2. Saida Mancer & Abdelhakim Necir & Souad Benchaira, 2023. "Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1510-1547, August.
    3. Benchaira, Souad & Meraghni, Djamel & Necir, Abdelhakim, 2015. "On the asymptotic normality of the extreme value index for right-truncated data," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 378-384.
    4. Stupfler, Gilles, 2016. "Estimating the conditional extreme-value index under random right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 1-24.
    5. Worms, J. & Worms, R., 2016. "A Lynden-Bell integral estimator for extremes of randomly truncated data," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 106-117.
    6. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.

  16. Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Post-Print hal-00589696, HAL.

    Cited by:

    1. Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Xian, Alan, 2021. "Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework," European Journal of Operational Research, Elsevier, vol. 290(1), pages 177-195.
    2. Lesław Gajek & Marcin Rudź, 2020. "Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1507-1528, December.
    3. Lesław Gajek & Marcin Rudź, 2020. "Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1493-1506, December.
    4. F. Baltazar-Larios & Luz Judith R. Esparza, 2022. "Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 571-593, June.
    5. Gajek, Lesław & Rudź, Marcin, 2017. "A generalization of Gerber’s inequality for ruin probabilities in risk-switching models," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 236-240.
    6. Gajek, Lesław & Rudź, Marcin, 2018. "Banach Contraction Principle and ruin probabilities in regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 45-53.

Articles

  1. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024. "Extreme expectile estimation for short-tailed data," Journal of Econometrics, Elsevier, vol. 241(2).

    Cited by:

    1. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2024. "A unified theory of extreme Expected Shortfall inference," TSE Working Papers 24-1565, Toulouse School of Economics (TSE).

  2. Anthony C. Davison & Simone A. Padoan & Gilles Stupfler, 2023. "Tail Risk Inference via Expectiles in Heavy-Tailed Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 876-889, July.

    Cited by:

    1. Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles, 2024. "Extreme expectile estimation for short-tailed data," Journal of Econometrics, Elsevier, vol. 241(2).
    2. Zhang, Feipeng & Xu, Yixiong & Fan, Caiyun, 2023. "Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    4. Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024. "Extreme expectile estimation for short-tailed data," Post-Print hal-04672516, HAL.

  3. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.

    Cited by:

    1. Amadou Barry & Karim Oualkacha & Arthur Charpentier, 2021. "Weighted asymmetric least squares regression with fixed-effects," Papers 2108.04737, arXiv.org.
    2. Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).

  4. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
    See citations under working paper version above.
  5. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
    See citations under working paper version above.
  6. Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve, 2022. "Nonparametric extreme conditional expectile estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 78-115, March.

    Cited by:

    1. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    2. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
    3. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    4. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "An expectile computation cookbook," TSE Working Papers 23-1458, Toulouse School of Economics (TSE).
    5. Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    6. Ahmad Aboubacrène Ag & Deme El Hadji & Diop Aliou & Girard Stéphane, 2019. "Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions," Dependence Modeling, De Gruyter, vol. 7(1), pages 394-417, January.
    7. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
    8. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.

  7. Michael Falk & Gilles Stupfler, 2021. "The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 254-282, February.

    Cited by:

    1. Meintanis, S.G. & Milošević, B. & Jiménez–Gamero, M.D., 2024. "Goodness–of–fit tests based on the min–characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 197(C).

  8. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
    See citations under working paper version above.
  9. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.

    Cited by:

    1. Bignozzi, Valeria & Merlo, Luca & Petrella, Lea, 2024. "Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 44-50.
    2. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.

  10. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2019. "Extremiles: A New Perspective on Asymmetric Least Squares," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1366-1381, July.

    Cited by:

    1. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    2. Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.
    3. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    4. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
    5. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    6. Collin Philipps, 2022. "An Expectile Strong Law of Large Numbers," Working Papers 2022-05, Department of Economics and Geosciences, US Air Force Academy.
    7. 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.
    8. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
    9. 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).
    10. Abdelaati Daouia & Gilles Stupfler, 2024. "Extremile Regression," Post-Print hal-04697061, HAL.

  11. 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.
    See citations under working paper version above.
  12. El Methni, Jonathan & Stupfler, Gilles, 2018. "Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions," Econometrics and Statistics, Elsevier, vol. 6(C), pages 129-148.

    Cited by:

    1. 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).
    2. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    3. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
    4. Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Functional estimation of extreme conditional expectiles," Econometrics and Statistics, Elsevier, vol. 21(C), pages 131-158.
    5. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
    6. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.

  13. Stupfler, Gilles & Yang, Fan, 2018. "Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
    See citations under working paper version above.
  14. Falk, Michael & Stupfler, Gilles, 2017. "An offspring of multivariate extreme value theory: The max-characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 85-95.

    Cited by:

    1. Meintanis, S.G. & Milošević, B. & Jiménez–Gamero, M.D., 2024. "Goodness–of–fit tests based on the min–characteristic function," Computational Statistics & Data Analysis, Elsevier, vol. 197(C).
    2. Hashorva, Enkelejd, 2018. "Representations of max-stable processes via exponential tilting," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2952-2978.
    3. Falk Michael & Stupfler Gilles, 2019. "On a class of norms generated by nonnegative integrable distributions," Dependence Modeling, De Gruyter, vol. 7(1), pages 259-278, January.
    4. Michael Falk & Gilles Stupfler, 2021. "The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 254-282, February.

  15. Stupfler, Gilles, 2016. "Estimating the conditional extreme-value index under random right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 1-24.
    See citations under working paper version above.
  16. Laurent Gardes & Gilles Stupfler, 2015. "Erratum to: Estimating extreme quantiles under random truncation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 228-228, June.
    See citations under working paper version above.
  17. Laurent Gardes & Gilles Stupfler, 2015. "Estimating extreme quantiles under random truncation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 207-227, June.

    Cited by:

    1. Benchaira, Souad & Meraghni, Djamel & Necir, Abdelhakim, 2016. "Kernel estimation of the tail index of a right-truncated Pareto-type distribution," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 186-193.
    2. Takeshi Emura & Chi-Hung Pan, 2020. "Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach," Statistical Papers, Springer, vol. 61(1), pages 479-501, February.
    3. Saida Mancer & Abdelhakim Necir & Souad Benchaira, 2023. "Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1510-1547, August.
    4. Benchaira, Souad & Meraghni, Djamel & Necir, Abdelhakim, 2015. "On the asymptotic normality of the extreme value index for right-truncated data," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 378-384.
    5. Stupfler, Gilles, 2016. "Estimating the conditional extreme-value index under random right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 1-24.
    6. Worms, J. & Worms, R., 2016. "A Lynden-Bell integral estimator for extremes of randomly truncated data," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 106-117.
    7. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.

  18. Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2013. "Frontier estimation with kernel regression on high order moments," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 172-189.

    Cited by:

    1. Leonie Selk & Charles Tillier & Orlando Marigliano, 2022. "Multivariate boundary regression models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 400-426, March.
    2. Christophe Chesneau & Salima El Kolei & Junke Kou & Fabien Navarro, 2019. "Nonparametric estimation in a regression model with additive and multiplicative noise," Papers 1906.07695, arXiv.org, revised Jun 2020.

  19. Stéphane Girard & Armelle Guillou & Gilles Stupfler, 2012. "Estimating an endpoint with high-order moments," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(4), pages 697-729, December.

    Cited by:

    1. Hong-Jiang Wu & Ying-Ying Zhang & Han-Yu Li, 2023. "Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments," Statistical Papers, Springer, vol. 64(2), pages 477-496, April.
    2. Matheus Henrique Junqueira Saldanha & Adriano Kamimura Suzuki, 2023. "On dealing with the unknown population minimum in parametric inference," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 509-535, September.
    3. Daouia, Abdelaati & Girard, Stéphane & Guillou, Armelle, 2014. "A Γ-moment approach to monotonic boundary estimation," Journal of Econometrics, Elsevier, vol. 178(2), pages 727-740.

  20. Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2012. "Estimating an endpoint with high order moments in the Weibull domain of attraction," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2136-2144.

    Cited by:

    1. Hong-Jiang Wu & Ying-Ying Zhang & Han-Yu Li, 2023. "Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments," Statistical Papers, Springer, vol. 64(2), pages 477-496, April.
    2. Matheus Henrique Junqueira Saldanha & Adriano Kamimura Suzuki, 2023. "On dealing with the unknown population minimum in parametric inference," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 509-535, September.
    3. Daouia, Abdelaati & Girard, Stéphane & Guillou, Armelle, 2014. "A Γ-moment approach to monotonic boundary estimation," Journal of Econometrics, Elsevier, vol. 178(2), pages 727-740.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (12) 2015-04-25 2017-09-24 2018-09-24 2018-10-08 2021-02-08 2021-04-26 2021-09-06 2022-04-11 2022-04-11 2023-04-10 2023-07-17 2024-09-30. Author is listed
  2. NEP-RMG: Risk Management (8) 2015-04-25 2017-09-24 2018-09-24 2018-10-08 2021-02-08 2021-04-26 2022-04-11 2023-07-17. Author is listed
  3. NEP-BAN: Banking (3) 2022-04-11 2022-04-11 2022-04-11
  4. NEP-ETS: Econometric Time Series (2) 2021-04-26 2021-09-06
  5. NEP-ISF: Islamic Finance (1) 2021-09-06
  6. NEP-ORE: Operations Research (1) 2022-04-11

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