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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

ArXiv (abs)PDF HTML

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

8 / 8 papers shown

Estimation of the Adjusted Standard-deviatile for Extreme Risks

Estimation of the Adjusted Standard-deviatile for Extreme RisksScandinavian Journal of Statistics (Scand. J. Stat.), 2023

152

2

0

11 Nov 2024

Distributional stability of sparse inverse covariance matrix estimators

Distributional stability of sparse inverse covariance matrix estimators

200

0

0

06 Jul 2024

Existence and uniqueness of weighted generalized $ψ$-estimators

Existence and uniqueness of weighted generalized

ψ

-estimatorsLithuanian Mathematical Journal (Lith. Math. J.), 2022

241

4

0

11 Nov 2022

Estimating value at risk: LSTM vs. GARCH

Estimating value at risk: LSTM vs. GARCH

Weronika Ormaniec

Sajad Safarveisi

Thorsten Schmidt

257

1

0

21 Jul 2022

Estimating and backtesting risk under heavy tails

Estimating and backtesting risk under heavy tailsInsurance, Mathematics & Economics (IME), 2020

Thorsten Schmidt

293

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

Gilles Stupfler

480

26

0

08 Apr 2020

Functional delta-method for the bootstrap of uniformly quasi-Hadamard
differentiable functionals

Functional delta-method for the bootstrap of uniformly quasi-Hadamard differentiable functionals

186

1

0

19 Sep 2016

Functional delta-method for the bootstrap of quasi-Hadamard
differentiable functionals

Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals

432

20

0

21 Oct 2015

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