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Statistical inference for expectile-based risk measures
v1v2v3 (latest)

Statistical inference for expectile-based risk measures

20 January 2016
Volker Krätschmer
Henryk Zähle
ArXiv (abs)PDFHTML

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

4 / 4 papers shown
Title
Estimating value at risk: LSTM vs. GARCH
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
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
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
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals
E. Beutner
Henryk Zähle
127
17
0
21 Oct 2015
1