Extremes for multivariate expectiles
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DOI: 10.1515/strm-2017-0014
Note: View the original document on HAL open archive server: https://hal.science/hal-01923798v1
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- Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2018. "Extremes for multivariate expectiles," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 111-140, July.
References listed on IDEAS
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"Multivariate extensions of expectiles risk measures,"
Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
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Cited by:
- Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
- Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
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More about this item
Keywords
Risk measures; multivariate expectiles; regular variations; extreme values; tail dependence functions;All these keywords.
JEL classification:
Statistics
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