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Nonparametric extreme conditional expectile estimation

• Authors : Gilles Stupfler; Antoine Usseglio-Carleve; Stéphane Girard ...

Subjects: extreme value analysis; [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH]; Conditional distribution

• Source: Scandinavian Journal of Statistics. 49:78-115

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Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

• Authors : Girard, Stéphane; Stupfler, Gilles; Usseglio-Carleve, Antoine ...

Subjects: [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]London; United Kingdom

• Source: CMStatistics 2021 - 14th International Conference of the ERCIM WG on Computational and Methodological Statistics ; https://hal.science/hal-03501801 ; CMStatistics 2021 - 14th International Conference

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Nonparametric extreme conditional expectile estimation

• Authors : Girard, Stéphane; Stupfler, Gilles; Usseglio-Carleve, Antoine ...

Subjects: [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]Zagreb; Croatia

• Source: EVA 2019 - 11th International Conference on Extreme Value Analysis ; https://inria.hal.science/hal-02186705 ; EVA 2019 - 11th International Conference on Extreme Value Analysis, Jul 2019, Zagreb,

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Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

• Authors : Girard, Stéphane; Stupfler, Gilles; Usseglio-Carleve, Antoine ...

Subjects: regression models; Expectiles; extreme value analysis

• Source: https://hal.inria.fr/hal-02531027 ; 2020.

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Asymptotic results of the randomly censored kernel-type expectile regression estimator for functional dependent data

• Authors : Mohammedi, Mustapha; Bouzebda, Salim; Laksaci, Ali ...

Subjects: Financial time series; Functional Data Analysis (FDA); Kernel method

• Source: ISSN: 1387-0874.

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Nonparametric extreme conditional expectile estimation.

• Authors : Girard, Stéphane; Stupfler, Gilles; Usseglio‐Carleve, Antoine

Subjects: FINANCIAL risk management; NONPARAMETRIC estimation; ORDER statistics

• Source: Scandinavian Journal of Statistics; Mar2022, Vol. 49 Issue 1, p78-115, 38p

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Conditional expectiles, time consistency and mixture convexity properties

• Authors : Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni ...

Subjects: Conditional expectile; Dynamic risk measure; Mixture concavity

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Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification

• Authors : Geng, Bingzhen; Liu, Yang; Zhao, Yimiao

Subjects: Quantitative Finance - Risk Management

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Dimension reduction techniques for conditional expectiles.

• Authors : Christou, Eliana¹ (AUTHOR)

• Source: Statistics. Aug2023, Vol. 57 Issue 4, p960-985. 26p.

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Expectile regression forest: A new nonparametric expectile regression model.

• Authors : Cai, Chao¹ (AUTHOR) ; Dong, Haotian¹ (AUTHOR); Wang, Xinyi¹ (AUTHOR)

• Source: Expert Systems. Jan2023, Vol. 40 Issue 1, p1-15. 15p.

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