Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
Author:
Funder
Agence Nationale de la Recherche
AXA Research Fund
Autorité de Contrôle Prudentiel et de Résolution
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11222-023-10359-4.pdf
Reference33 articles.
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4. Beirlant, J., Goegebeur, Y., Segers, J., Teugels, J.: Statistics of Extremes: Theory and Applications. Wiley, Chichester (2004)
5. Bellini, F., Di Bernardino, E.: Risk management with expectiles. Eur. J. Finance 23(6), 487–506 (2017)
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