Joint inference on extreme expectiles for multivariate heavy-tailed distributions
Work
Year: 2022
Type: article
Abstract: Expectiles induce a law-invariant, coherent and elicitable risk measure that has received substantial attention in actuarial and financial risk management contexts. A number of recent papers have focu... more
Source: Bernoulli
Authors Simone A. Padoan, Gilles Stupfler
Institutions Bocconi University, Centre de Recherche en Économie et Statistique, École Nationale de la Statistique et de l'Administration Économique, École Nationale de la Statistique et de l'Analyse de l'Information
Cites: 41
Cited by: 11
Related to: 10
FWCI: 2.563
Citation percentile (by year/subfield): 86.27
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green