Pages that link to "Item:Q5378122"
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The following pages link to Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme (Q5378122):
Displaying 49 items.
- Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
- Causal discovery in heavy-tailed models (Q820829) (← links)
- Conditional marginal expected shortfall (Q826003) (← links)
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530) (← links)
- Risk contagion under regular variation and asymptotic tail independence (Q1742742) (← links)
- Measuring the tail risk: an asymptotic approach (Q1746754) (← links)
- Nonparametric inference for distortion risk measures on tail regions (Q2010897) (← links)
- Semi-parametric estimation of multivariate extreme expectiles (Q2034472) (← links)
- Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
- Empirical tail conditional allocation and its consistency under minimal assumptions (Q2086280) (← links)
- Nonparametric estimation of conditional marginal excess moments (Q2101474) (← links)
- Extreme partial least-squares (Q2111063) (← links)
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions (Q2137005) (← links)
- An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
- ExpectHill estimation, extreme risk and heavy tails (Q2225005) (← links)
- Tail expectile process and risk assessment (Q2278671) (← links)
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails (Q2283057) (← links)
- Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models (Q2347111) (← links)
- Extremes for coherent risk measures (Q2374125) (← links)
- Asymptotics of multivariate conditional risk measures for Gaussian risks (Q2415978) (← links)
- Estimation of the expected shortfall given an extreme component under conditional extreme value model (Q2417999) (← links)
- Multivariate tail conditional expectation for elliptical distributions (Q2520449) (← links)
- Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
- Statistical inference for tail-based cumulative residual entropy (Q2670125) (← links)
- Extremes for a general contagion risk measure (Q2677934) (← links)
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
- Systemic risk in the European sovereign and banking system (Q4555099) (← links)
- Computing (Bivariate) Poisson Moments Using Stein–Chen Identities (Q5050790) (← links)
- On the estimation of extreme directional multivariate quantiles (Q5078040) (← links)
- ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES (Q5152550) (← links)
- Extremiles: A New Perspective on Asymmetric Least Squares (Q5242482) (← links)
- Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement (Q6044632) (← links)
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles (Q6059468) (← links)
- Estimation of extreme quantiles from heavy-tailed distributions with neural networks (Q6089222) (← links)
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks (Q6171953) (← links)
- A refined Weissman estimator for extreme quantiles (Q6176329) (← links)
- Estimation of extreme quantiles conditioning on multivariate critical layers (Q6179622) (← links)
- Asymptotic results on tail moment and tail central moment for dependent risks (Q6198065) (← links)
- Dependent conditional tail expectation for extreme levels (Q6204193) (← links)
- Asymptotics of sum of heavy-tailed risks with copulas (Q6204664) (← links)
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks (Q6550185) (← links)
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions (Q6592804) (← links)
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (Q6617769) (← links)
- Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets (Q6626007) (← links)
- Statistical Inference for a Relative Risk Measure (Q6634862) (← links)
- Estimation of marginal excess moments for Weibull-type distributions (Q6635938) (← links)
- Estimation of the conditional tail moment for Weibull-type distributions (Q6641040) (← links)
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error (Q6654881) (← links)
