Article
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2024)
Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles.
Statistics and Computing, vol. 34 (n° 130).
Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude
(2024)
Optimal weighted pooling for inference about the tail index and extreme quantiles.
Bernoulli, vol. 30 (n° 2).
pp. 1287-1312.
Daouia, Abdelaati, Padoan, Simone A. and Stupfler, Gilles Claude
(2024)
Extreme expectile estimation for short-tailed data.
Journal of Econometrics, vol. 241 (n° 2).
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2024)
An expectile computation cookbook.
Statistics and Computing, vol. 34 (n° 103).
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2024)
Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles.
Statistics and Computing, Vol. 34 (N° 130).
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2023)
Inference for extremal regression with dependent heavy-tailed data.
Annals of Statistics, Vol. 51 (N °5).
pp. 2040-2066.
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2023)
Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions.
Royal Society Open Science, vol. 10 (n° 3).
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.
Monograph
Yasser, Abbas, Daouia, Abdelaati
, Nemouchi, Boutheina
and Stupfler, Gilles
(2025)
Tail expectile-VaR estimation in the semiparametric Generalized Pareto model.
TSE Working Paper, n. 25-1607, Toulouse
Daouia, Abdelaati, Stupfler, Gilles Claude
and Usseglio-Carleve, Antoine
(2024)
Corrected inference about the extreme Expected Shortfall in the general max-domain of attraction.
TSE Working Paper, n. 24-1565, 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