Corrected inference about the extreme Expected Shortfall in the general max-domain of attraction
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- Abbas, Yasser & Daouia, Abdelaati & Nemouchi, Boutheina & Stupfler, Gilles, 2025. "Tail expectile-VaR estimation in the semiparametric Generalized Pareto model," TSE Working Papers 25-1607, Toulouse School of Economics (TSE).
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Keywords
Expected Shortfall; extreme value moment estimator; inference; second-order; extended regular variation; semiparametric extrapolation.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-09-30 (Econometrics)
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