1. Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik.
   In: University of East Anglia School of Economics Working Paper Series.
   RePEc:uea:ueaeco:2023-02.

   Full description at Econpapers || Download paper

2. Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

   Full description at Econpapers || Download paper

3. Variable Screening and Model Averaging for Expectile Regressions. (2023). Wang, Siwei ; Tu, Yundong.
   In: Oxford Bulletin of Economics and Statistics.
   RePEc:bla:obuest:v:85:y:2023:i:3:p:574-598.

   Full description at Econpapers || Download paper

4. Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity. (2022). Zhang, YI ; Yan, Guanao ; Zhao, Jun.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:63:y:2022:i:1:d:10.1007_s00362-021-01227-2.

   Full description at Econpapers || Download paper

5. Local polynomial expectile regression. (2022). Gijbels, I ; Adam, C.
   In: Annals of the Institute of Statistical Mathematics.
   RePEc:spr:aistmt:v:74:y:2022:i:2:d:10.1007_s10463-021-00799-y.

   Full description at Econpapers || Download paper

6. Spillover effects between commodity and stock markets: A SDSES approach. (2022). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701.

   Full description at Econpapers || Download paper

7. Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336.

   Full description at Econpapers || Download paper

8. Interpretation of point forecasts with unknown directive. (2021). Schmidt, Patrick ; Gneiting, Tilmann ; Katzfuss, Matthias.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:36:y:2021:i:6:p:728-743.

   Full description at Econpapers || Download paper

9. The kth power expectile regression. (2021). Zhou, Yong ; Lin, Fuming ; Jiang, Yingying.
   In: Annals of the Institute of Statistical Mathematics.
   RePEc:spr:aistmt:v:73:y:2021:i:1:d:10.1007_s10463-019-00738-y.

   Full description at Econpapers || Download paper

10. Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni.
    In: Post-Print.
    RePEc:hal:journl:hal-03287947.

    Full description at Econpapers || Download paper

11. The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542.

    Full description at Econpapers || Download paper

12. Evaluating quantile-bounded and expectile-bounded interval forecasts. (2021). Taylor, James W.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:800-811.

    Full description at Econpapers || Download paper

13. Measuring the risk of Chinese Fintech industry: evidence from the stock index. (2021). Sun, Xiaolei ; Li, Jian Ping ; Yao, Yinhong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055.

    Full description at Econpapers || Download paper

14. Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach. (2021). GUPTA, RANGAN ; Ma, Shu-Jiao ; Bouri, Elie ; Zhang, Yue-Jun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301868.

    Full description at Econpapers || Download paper

15. The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Busetti, Fabio ; delle Monache, Davide ; Caivano, Michele.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115.

    Full description at Econpapers || Download paper

16. Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

    Full description at Econpapers || Download paper

17. .

    Full description at Econpapers || Download paper

18. Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach. (2020). GUPTA, RANGAN ; Bouri, Elie ; Zhang, Yue-Jun.
    In: Working Papers.
    RePEc:pre:wpaper:202027.

    Full description at Econpapers || Download paper

19. The time-varying risk of Italian GDP. (2020). Pacella, Claudia ; Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1288_20.

    Full description at Econpapers || Download paper

20. lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu.
    In: Papers.
    RePEc:arx:papers:2009.13215.

    Full description at Econpapers || Download paper

21. .

    Full description at Econpapers || Download paper

22. From Halfspace M-Depth to Multiple-output Expectile Regression. (2019). Paindaveine, Davy ; Daouia, Abdelaati.
    In: TSE Working Papers.
    RePEc:tse:wpaper:123159.

    Full description at Econpapers || Download paper

23. The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation. (2019). Ullah, Aman ; Lee, Tae Hwy ; Wang, HE.
    In: Sankhya B: The Indian Journal of Statistics.
    RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00189-8.

    Full description at Econpapers || Download paper

24. How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. (2019). Zhang, Yue-Jun ; Ma, Shu-Jiao.
    In: Energy Economics.
    RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303573.

    Full description at Econpapers || Download paper

25. Domestic and global determinants of inflation: evidence from expectile regression. (2019). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1225_19.

    Full description at Econpapers || Download paper

26. Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel.
    In: Papers.
    RePEc:arx:papers:1906.09729.

    Full description at Econpapers || Download paper

27. .

    Full description at Econpapers || Download paper

28. How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?. (2018). Ling, Chengxiu ; Hardle, Wolfgang Karl.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018010.

    Full description at Econpapers || Download paper

29. Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201804.

    Full description at Econpapers || Download paper

30. On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02296832.

    Full description at Econpapers || Download paper

31. On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

    Full description at Econpapers || Download paper

32. lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

    Full description at Econpapers || Download paper

33. On the Dependence between Quantiles and Dispersion Estimators. (2018). Marie, Kratz ; Marcel, Brautigam.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-18007.

    Full description at Econpapers || Download paper

34. Extreme M-quantiles as risk measures: From L1 to Lp optimization. (2017). STUPFLER, Gilles ; Daouia, Abdelaati ; Girard, Stephane.
    In: TSE Working Papers.
    RePEc:tse:wpaper:32050.

    Full description at Econpapers || Download paper

35. Estimation of Tail Risk based on Extreme Expectiles. (2017). STUPFLER, Gilles ; Daouia, Abdelaati ; Girard, Stephane.
    In: TSE Working Papers.
    RePEc:tse:wpaper:29257.

    Full description at Econpapers || Download paper

36. A continuous threshold expectile model. (2017). Zhang, Feipeng ; Li, Qunhua.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:116:y:2017:i:c:p:49-66.

    Full description at Econpapers || Download paper

37. An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

    Full description at Econpapers || Download paper

38. Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4.

    Full description at Econpapers || Download paper

39. Quantile and expectile smoothing by F-transform.. (2015). Stefanini, Luciano ; Guerra, Maria Letizia ; Sorini, Laerte .
    In: Working Papers.
    RePEc:urb:wpaper:15_12.

    Full description at Econpapers || Download paper

40. Measuring Tail-Risk Cross-Country Exposures in the Banking Industry. (2015). Serrano, Antonio Rubia ; Sanchis-Marco, Lidia .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2015-01.

    Full description at Econpapers || Download paper

41. lCARE – localizing Conditional AutoRegressive Expectiles. (2015). Mihoci, Andrija ; Härdle, Wolfgang ; Xu, Xiu ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-052.

    Full description at Econpapers || Download paper

42. Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars.
    In: Risks.
    RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.

    Full description at Econpapers || Download paper

43. A DARE for VaR. (2015). Maillet, Bertrand ; Hamidi, Benjamin ; Kouontchou, Patrick ; Hurlin, Christophe.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/15232.

    Full description at Econpapers || Download paper

44. A Varying-Coefficient Expectile Model for Estimating Value at Risk. (2014). Alan T. K. Wan, ; Zhou, Yong ; Xie, Shangyu ; Alan T. K. Wan, .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:4:p:576-592.

    Full description at Econpapers || Download paper

45. Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment effects. (2014). Stahlschmidt, Stephan ; Härdle, Wolfgang ; Eckardt, Matthias ; Hardle, Wolfgang K..
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-059.

    Full description at Econpapers || Download paper

46. A dynamic autoregressive expectile for time-invariant portfolio protection strategies. (2014). Prigent, Jean-Luc ; Maillet, Bertrand ; Hamidi, Benjamin .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:46:y:2014:i:c:p:1-29.

    Full description at Econpapers || Download paper

47. Functional Data Analysis of Generalized Quantile Regressions. (2013). Härdle, Wolfgang ; Guo, Mengmeng ; Huang, Jianhua Z. ; Hardle, Wolfgang Karl ; Zhou, Lhan .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-001.

    Full description at Econpapers || Download paper

48. Simultaneous confidence bands for expectile functions. (2012). Härdle, Wolfgang ; Guo, Mengmeng ; Hardle, Wolfgang.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:96:y:2012:i:4:p:517-541.

    Full description at Econpapers || Download paper

49. Assessing value at risk with CARE, the Conditional Autoregressive Expectile models. (2009). Kuan, Chung-Ming ; Hsu, Yu-Chin ; Yeh, Jin-Huei .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:261-270.

    Full description at Econpapers || Download paper

50. Nonparametric regression under dependent errors with infinite variance. (2004). Peng, Liang ; Yao, Qiwei.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:22874.

    Full description at Econpapers || Download paper

51. Statistical Tests for Lyapunov Exponents of Deterministic Systems. (2004). Tong, Howell ; Wolff, Rodney ; Yao, Qiwei.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:2:n:10.

    Full description at Econpapers || Download paper

52. Nonparametric estimation equations for time series data. (2003). CAI, ZONGWU.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:62:y:2003:i:4:p:379-390.

    Full description at Econpapers || Download paper

53. Modelling the Absolute Returns of Different Stock Indices: Exploring the Forecastability of an Alternative Measure of Risk. (1999). SIN, Chor-yiu (CY) ; Granger, Clive ; Granger,Clive W. J., ; Granger, Clive W. J., .
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt48r4781r.

    Full description at Econpapers || Download paper

This document has not been processed yet.

You may help us by submiting the list of references

      This document has not co-citation data yet.

Report date: 2025-02-28 19:05:21 || Missing content? Let us know