ExpectHill estimation, extreme risk and heavy tails

Daouia, A; Girard, S; Stupfler, G

Girard, S (corresponding author), Univ Grenoble Alpes, INRIA, CNRS, Grenoble INP,LJK, F-38000 Grenoble, France.

JOURNAL OF ECONOMETRICS, 2021; 221 (1): 97

Abstract

Risk measures of a financial position are, from an empirical point of view, mainly based on quantiles. Replacing quantiles with their least squares an......

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