Joint inference on extreme expectiles for multivariate heavy-tailed distributions

@article{Padoan2020JointIO,
  title={Joint inference on extreme expectiles for multivariate heavy-tailed distributions},
  author={Simone A. Padoan and Gilles Stupfler},
  journal={Bernoulli},
  year={2020}
}
The notion of expectiles, originally introduced in the context of testing for homoscedasticity and conditional symmetry of the error distribution in linear regression, induces a law-invariant, coherent and elicitable risk measure that has received a significant amount of attention in actuarial and financial risk management contexts. A number of recent papers have focused on the behaviour and estimation of extreme expectile-based risk measures and their potential for risk management. Joint… 

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