Daouia, Abdelaati and Stupfler, Gilles Claude
(2024)
Extremile Regression.
TSE Working Paper, n. 24-1546, Toulouse
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2024)
An expectile computation cookbook.
Statistics and Computing, vol. 34 (n° 103).
Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude
(2023)
Extreme expectile estimation for short-tailed data, with an application to market risk assessment.
TSE Working Paper, n. 23-1414, Toulouse
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2022)
Inference for extremal regression with dependent heavy-tailed data.
TSE Working Paper, n. 22-1324, Toulouse
Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude
(2022)
Optimal weighted pooling for inference about the tail index and extreme quantiles.
TSE Working Paper, n. 22-1322, Toulouse
Usseglio-Carleve, Antoine, Girard, Stéphane
and Stupfler, Gilles Claude
(2021)
Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models.
The Annals of statistics, vol. 49 (n° 6).
pp. 3358-3382.
Daouia, Abdelaati, Girard, Stéphane
and Stupfler, Gilles Claude
(2021)
ExpectHill estimation, extreme risk and heavy tails.
Journal of Econometrics, vol. 221 (n° 1).
pp. 97-117.
Daouia, Abdelaati, Gijbels, Irene
and Stupfler, Gilles Claude
(2021)
Extremile regression.
Journal of the American Statistical Association, vol. 116 (n° 539).
pp. 1579-1586.
Daouia, Abdelaati, Girard, Stéphane
and Stupfler, Gilles Claude
(2020)
Tail expectile process and risk assessment.
Bernoulli journal, vol. 26 (n° 1).
pp. 531-556.
Daouia, Abdelaati, Girard, Stéphane
and Stupfler, Gilles Claude
(2019)
Extreme M-quantiles as risk measures: From L1 to Lp optimization.
Bernoulli journal, vol. 25 (n° 1).
pp. 264-309.
Daouia, Abdelaati, Gijbels, Irene
and Stupfler, Gilles Claude
(2019)
Extremiles: A new perspective on asymmetric least squares.
Journal of the American Statistical Association, 114 (527).
pp. 1366-1381.
Daouia, Abdelaati, Girard, Stéphane
and Stupfler, Gilles Claude
(2018)
Estimation of Tail Risk based on Extreme Expectiles.
Journal of the Royal Statistical Society: Series B (Statistical Methodology), 80 (2).
pp. 263-292.