eprintid: 26253
rev_number: 13
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/02/62/53
datestamp: 2018-09-19 09:31:07
lastmod: 2021-04-02 15:58:12
status_changed: 2020-04-14 13:34:29
type: monograph
metadata_visibility: no_search
creators_name: Daouia, Abdelaati
creators_name: Girard, Stéphane
creators_name: Stupfler, Gilles
creators_idrefppn: 076657000
creators_idrefppn: 112225497
creators_idrefppn: 159301602
title: ExpectHill estimation, extreme risk and heavy tails
ispublished: pub
subjects: subjects_ECO
abstract: Risk measures of a financial position are traditionally based on quantiles. Replacing quantiles with their least squares analogues, called expectiles, has recently received increasing attention. The novel expectile-based risk measures satisfy all coherence requirements. We revisit their extreme value estimation for heavy-tailed distributions. First, we estimate the underlying tail index via weighted combinations of top order statistics and asymmetric least squares estimates. The resulting expectHill estimators are then used as the basis for estimating tail expectiles and Expected Shortfall. The asymptotic theory of the proposed estimators is provided, along with numerical simulations and applications to actuarial and financial data.
date: 2018-09
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/32939
faculty: tse
divisions: tse
keywords: Asymmetric least squares
keywords: Coherent risk measures
keywords: Expected shortfall
keywords: Expectile
keywords: Extrapolation
keywords: Extremes
keywords: Heavy tails
keywords: Tail index
language: en
has_fulltext: TRUE
subjectsJEL: JEL_C13
subjectsJEL: JEL_C14
view_date_year: 2018
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 18-953
place_of_pub: Toulouse
pages: 39
institution: Université Toulouse 1 Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:32939
harvester_local_overwrite: department
harvester_local_overwrite: faculty
harvester_local_overwrite: institution
harvester_local_overwrite: place_of_pub
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harvester_local_overwrite: pending
harvester_local_overwrite: creators_idrefppn
oai_lastmod: 2020-03-09T09:54:31Z
oai_set: tse
site: ut1
citation:   Daouia, Abdelaati <https://www.idref.fr/076657000>, Girard, Stéphane <https://www.idref.fr/112225497> and Stupfler, Gilles <https://www.idref.fr/159301602>  (2018) ExpectHill estimation, extreme risk and heavy tails.  TSE Working Paper, n. 18-953, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/26253/1/wp_tse_953.pdf