Estimation of Tail Risk based on Extreme Expectiles
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- 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.
References listed on IDEAS
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More about this item
Keywords
Asymmetric squared loss; Coherent Value-at-Risk; Expected shortfall; Expectiles; Extrapolation; Extreme value theory; Heavy tails;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-04-25 (Econometrics)
- NEP-RMG-2015-04-25 (Risk Management)
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