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Tail risk inference via expectiles in heavy-tailed time series
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Tail risk inference via expectiles in heavy-tailed time series

8 April 2020
A. Davison
S. Padoan
Gilles Stupfler
ArXiv (abs)PDFHTML

Papers citing "Tail risk inference via expectiles in heavy-tailed time series"

3 / 3 papers shown
Marginal expected shortfall inference under multivariate regular
  variation
Marginal expected shortfall inference under multivariate regular variation
S. Padoan
Stefano Rizzelli
M. Schiavone
107
2
0
15 Apr 2023
Extreme expectile estimation for short-tailed data, with an application
  to market risk assessment
Extreme expectile estimation for short-tailed data, with an application to market risk assessmentJournal of Econometrics (JE), 2022
A. Daouia
S. Padoan
Gilles Stupfler
310
2
0
05 Oct 2022
A modeler's guide to extreme value software
A modeler's guide to extreme value software
Léo R. Belzile
Christophe Dutang
P. Northrop
Thomas Opitz
172
23
0
16 May 2022
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