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Multivariate extensions of expectiles risk measures

https://doi.org/10.1515/demo-2017-0002
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/bf02808462openalex-snapshot
On higher-degree bivariate stop-loss transforms, with applications
inferredcites →https://doi.org/10.1007/s00780-004-0127-6openalex-snapshot
Vector-valued coherent risk measures
inferredcites →https://doi.org/10.1007/s00780-007-0043-7openalex-snapshot
Multivariate risks and depth-trimmed regions
inferredcites →https://doi.org/10.1007/s00780-010-0150-8openalex-snapshot
Worst case portfolio vectors and diversification effects
inferredcites →https://doi.org/10.1007/s13385-016-0123-1openalex-snapshot
On a capital allocation by minimization of some risk indicators
inferredcites →https://doi.org/10.1016/0167-7152(92)90043-5openalex-snapshot
Note on the spatial quantile of a random vector
inferredcites →https://doi.org/10.1016/j.insmatheco.2005.08.008openalex-snapshot
Consistent risk measures for portfolio vectors
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.10.015openalex-snapshot
Generalized quantiles as risk measures
inferredcites →https://doi.org/10.1016/j.insmatheco.2014.01.013openalex-snapshot
On multivariate extensions of Conditional-Tail-Expectation
inferredcites →https://doi.org/10.1016/j.insmatheco.2014.11.006openalex-snapshot
On multivariate extensions of the conditional Value-at-Risk measure
inferredcites →https://doi.org/10.1016/j.insmatheco.2015.06.009openalex-snapshot
Risk concentration based on Expectiles for extreme risks under FGM copula
inferredcites →https://doi.org/10.1016/j.jmva.2013.03.016openalex-snapshot
On multivariate extensions of Value-at-Risk
inferredcites →https://doi.org/10.1016/j.spl.2015.02.004openalex-snapshot
Elicitable distortion risk measures: A concise proof
inferredcites →https://doi.org/10.1080/01621459.1996.10476954openalex-snapshot
On a Geometric Notion of Quantiles for Multivariate Data
inferredcites →https://doi.org/10.1080/1351847x.2015.1052150openalex-snapshot
Risk management with expectiles
inferredcites →https://doi.org/10.1080/14697688.2014.946955openalex-snapshot
On elicitable risk measures
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-snapshot
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/mafi.12080openalex-snapshot
COHERENCE AND ELICITABILITY
inferredcites →https://doi.org/10.1111/rssb.12254openalex-snapshot
Estimation of Tail Risk Based on Extreme Expectiles
inferredcites →https://doi.org/10.1145/1386790.1386813openalex-snapshot
Eliciting properties of probability distributions
inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-snapshot
Making and Evaluating Point Forecasts
inferredcites →https://doi.org/10.1214/16-aos1439openalex-snapshot
Higher order elicitability and Osband’s principle
inferredcites →https://doi.org/10.1214/aoms/1177728659openalex-snapshot
Multidimensional Stochastic Approximation Methods
inferredcites →https://doi.org/10.1214/aoms/1177729586openalex-snapshot
A Stochastic Approximation Method
inferredcites →https://doi.org/10.1524/stnd.2006.24.1.97openalex-snapshot
Law invariant convex risk measures for portfolio vectors
inferredcites →https://doi.org/10.1524/stnd.2011.1099openalex-snapshot
Law invariant risk measures on L ∞ (ℝ d )
inferredcites →https://doi.org/10.21314/jor.2015.318openalex-snapshot
What is the best risk measure in practice? A comparison of standard measures
inferredcites →https://doi.org/10.2307/1911031openalex-snapshot
Asymmetric Least Squares Estimation and Testing
inferredcites →https://doi.org/10.3390/risks3040599openalex-snapshot
Dependence Uncertainty Bounds for the Expectile of a Portfolio
inferredcites →https://doi.org/10.5281/zenodo.4355666openalex-snapshot
Providing Incentives for Better Cost Forecasting
inferredcites →https://doi.org/10.70675/d9a59d8dz1ac8z4401zae0ez1bb23259aaddopenalex-snapshot
Estimation récursive dans certains modèles de déformation
inferredcites →https://doi.org/10.70675/f88a6278zfdddz42a1z9f23z55b72cc0177copenalex-snapshot
Modélisation de la dépendance et mesures de risque multidimensionnelles

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3046177openalex-extracted
Long-Term Quantile Forecasting for Supply Chain and Logistic Operations
inferred← citeshttps://doi.org/10.2139/ssrn.3800154openalex-extracted
K-expectiles clustering
inferred← citeshttps://doi.org/10.2139/ssrn.3966204openalex-extracted
inferred← citeshttps://doi.org/10.1007/s10100-018-0591-2openalex-snapshot
Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
inferred← citeshttps://doi.org/10.1007/s10614-025-10903-6openalex-snapshot
A Direct Nonparametric Estimator for EVaR of Dependent Financial Returns
inferred← citeshttps://doi.org/10.1016/j.econmod.2019.09.049openalex-snapshot
Expectile CAPM
inferred← citeshttps://doi.org/10.1016/j.ejor.2024.06.002openalex-snapshot
A theory of multivariate stress testing
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2019.03.003openalex-snapshot
Asymptotics of multivariate conditional risk measures for Gaussian risks
inferred← citeshttps://doi.org/10.1016/j.jmva.2018.10.006openalex-snapshot
Approximation of some multivariate risk measures for Gaussian risks
inferred← citeshttps://doi.org/10.1016/j.jmva.2020.104673openalex-snapshot
The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
inferred← citeshttps://doi.org/10.1016/j.jmva.2021.104757openalex-snapshot
Expectile depth: Theory and computation for bivariate datasets
inferred← citeshttps://doi.org/10.1016/j.jmva.2021.104758openalex-snapshot
Semi-parametric estimation of multivariate extreme expectiles
inferred← citeshttps://doi.org/10.1016/j.jmva.2021.104869openalex-snapshot
K -expectiles clustering
inferred← citeshttps://doi.org/10.1016/j.jmva.2023.105292openalex-snapshot
Estimation of extreme multivariate expectiles with functional covariates
inferred← citeshttps://doi.org/10.1016/j.jmva.2025.105425openalex-snapshot
Set-valued expectiles for ordered data analysis
inferred← citeshttps://doi.org/10.1016/j.jspi.2022.12.001openalex-snapshot
Multivariate expectile-based distribution: Properties, Bayesian inference, and applications
inferred← citeshttps://doi.org/10.1017/asb.2019.31openalex-snapshot
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
inferred← citeshttps://doi.org/10.1057/s41260-021-00210-8openalex-snapshot
Dynamic copula-based expectile portfolios
inferred← citeshttps://doi.org/10.1080/03461238.2018.1426038openalex-snapshot
Multivariate geometric expectiles
inferred← citeshttps://doi.org/10.1080/03461238.2021.1944905openalex-snapshot
A multivariate CVaR risk measure from the perspective of portfolio risk management
inferred← citeshttps://doi.org/10.1080/23311975.2023.2278256openalex-snapshot
Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence
inferred← citeshttps://doi.org/10.1111/jtsa.70021openalex-snapshot
Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency
inferred← citeshttps://doi.org/10.12688/f1000research.174712.1openalex-snapshot
Bayesian expectile regression with single-index models
inferred← citeshttps://doi.org/10.1515/strm-2017-0014openalex-snapshot
Extremes for multivariate expectiles
inferred← citeshttps://doi.org/10.28924/2291-8639-21-2023-79openalex-snapshot
Expectile-Based Capital Allocation
inferred← citeshttps://doi.org/10.3233/rda-231521openalex-snapshot
Some systemic risk indicators
inferred← citeshttps://doi.org/10.3390/axioms14020147openalex-snapshot
Multifunctional Expectile Regression Estimation in Volterra Time Series: Application to Financial Risk Management
inferred← citeshttps://doi.org/10.3390/risks6040142openalex-snapshot
A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations
inferred← citeshttps://doi.org/10.3390/sym15122108openalex-snapshot
Spatio-Functional Local Linear Asymmetric Least Square Regression Estimation: Application for Spatial Prediction of COVID-19 Propagation
inferred← citeshttps://doi.org/10.3934/jimo.2022231openalex-snapshot
Capital allocation with multivariate convex risk measures
inferred← citeshttps://doi.org/10.3934/math.20251163openalex-snapshot
Nonparametric multifunctional GARCH time series data analysis: Application to dynamic forecasting in financial data
inferred← citeshttps://doi.org/10.48550/arxiv.2303.16848openalex-snapshot
Estimation of extreme $L^1$-multivariate expectiles with functional covariates
inferred← citeshttps://doi.org/10.5802/crmath.27openalex-snapshot
On the nonparametric estimation of the functional expectile regression
inferred← citeshttps://doi.org/10.70675/f1c95dd5zfce4z467fzbbd8zdb8e4a9761d7openalex-snapshot
Estimation de mesures de risque pour des distributions elliptiques conditionnées
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