Tail risk inference via expectiles in heavy-tailed time series

DOI10.48550/arXiv.2004.04078arXiv2004.04078OpenAlexW3205009003MaRDI QIDQ135350

Gilles Stupfler, Anthony C. Davison, Simone Padoan, Gilles Stupfler, Simone A. Padoan, Anthony C. Davison

Publication date: 8 April 2020

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.04078

zbMATH Keywords

mixingweak dependencetail copulamarginal expected shortfallasymmetric least squares estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Inference for extremal regression with dependent heavy-tailed data ⋮ ExtremeRisks

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