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10/05/2022
Extreme expectile estimation for short-tailed data
The use of expectiles in risk management contexts has recently gathered ...
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11/04/2021
Optimal pooling and distributed inference for the tail index and extreme quantiles
This paper investigates pooling strategies for tail index and extreme qu...
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04/20/2021
GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
The Value-at-Risk (VaR) is a widely used instrument in financial risk ma...
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07/17/2020
Joint inference on extreme expectiles for multivariate heavy-tailed distributions
The notion of expectiles, originally introduced in the context of testin...
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04/08/2020