592 citations · 615 across the 23 of their papers we have counts for
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stat.ME2020
Joint inference on extreme expectiles for multivariate heavy-tailed distributions
Simone A. Padoan, Gilles Stupfler
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 la…
stat.ME2020
Tail risk inference via expectiles in heavy-tailed time series
Anthony C. Davison, Simone A. Padoan, Gilles Stupfler
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and t…