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Relating quantiles and expectiles under weighted-symmetry
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Cited by:
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2024.
"Testing Granger non-causality in expectiles,"
Econometric Reviews, Taylor & Francis Journals, vol. 43(1), pages 30-51, January.
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2022. "Testing Granger Non-Causality in Expectiles," Working Papers 202207, University of Liverpool, Department of Economics.
- Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
- Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO 164, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-01697643, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-02312331, HAL.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
- Peng Sun & Fuming Lin & Haiyang Xu & Kaizhi Yu, 2025. "Estimation of value-at-risk by $$L^{p}$$ L p quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 77(1), pages 25-59, February.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
- Kohei Marumo & Steven Li, 2024. "Downside Risk in Australian and Japanese Stock Markets: Evidence Based on the Expectile Regression," JRFM, MDPI, vol. 17(5), pages 1-17, May.
- Litimein, Ouahiba & Laksaci, Ali & Mechab, Boubaker & Bouzebda, Salim, 2023. "Local linear estimate of the functional expectile regression," Statistics & Probability Letters, Elsevier, vol. 192(C).
- Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
- Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
- Abdelaati Daouia & Stéphane Girard & Gilles Stupfler, 2018.
"Estimation of tail risk based on extreme expectiles,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(2), pages 263-292, March.
- Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2015. "Estimation of Tail Risk based on Extreme Expectiles," TSE Working Papers 15-566, Toulouse School of Economics (TSE), revised Jul 2017.
- Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014.
"Risk models-at-risk,"
Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
- Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk Model-at-Risk," Post-Print hal-01386003, HAL.
- Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
- Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models–at–risk," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library.
- Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-01243413, HAL.
- Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
- Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
- Bignozzi, Valeria & Merlo, Luca & Petrella, Lea, 2024. "Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 44-50.
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
- Russo, Giovanni & Hassink, Wolter, 2011. "Multiple Glass Ceilings," IZA Discussion Papers 5828, Institute of Labor Economics (IZA).
- Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(C).
- Ibrahim M. Almanjahie & Salim Bouzebda & Zoulikha Kaid & Ali Laksaci, 2024. "The local linear functional kNN estimator of the conditional expectile: uniform consistency in number of neighbors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(8), pages 1007-1035, November.
- Bernardi, Mauro & Bignozzi, Valeria & Petrella, Lea, 2017. "On the Lp-quantiles for the Student t distribution," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 77-83.
- Giovanni Russo & Wolter Hassink, 2012. "Multiple Glass Ceilings," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 51(4), pages 892-915, October.
- C. Adam & I. Gijbels, 2022. "Local polynomial expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 341-378, April.
- Fatimah Alshahrani & Ibrahim M. Almanjahie & Zouaoui Chikr Elmezouar & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Functional Ergodic Time Series Analysis Using Expectile Regression," Mathematics, MDPI, vol. 10(20), pages 1-17, October.
- Valeria Bignozzi & Luca Merlo & Lea Petrella, 2022. "Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles," Papers 2209.12855, arXiv.org.
- Pendakur Krishna & Pendakur Ravi & Woodcock Simon D., 2008. "A Representation Index: Measuring the Representation of Minorities in the Income Distribution," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 8(1), pages 1-21, October.