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Statistical inference for expectile-based risk measures

20 January 2016

Papers citing "Statistical inference for expectile-based risk measures"

4 / 4 papers shown

Title
Estimating value at risk: LSTM vs. GARCH Weronika Ormaniec Marcin Pitera Sajad Safarveisi Thorsten Schmidt AIFin 56 1 0 21 Jul 2022
Estimating and backtesting risk under heavy tails Marcin Pitera Thorsten Schmidt 26 5 0 20 Oct 2020
Tail risk inference via expectiles in heavy-tailed time series A. Davison S. Padoan Gilles Stupfler 49 17 0 08 Apr 2020
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals E. Beutner Henryk Zähle 127 17 0 21 Oct 2015