Details about Gilles STUPFLER

Access statistics for papers by Gilles STUPFLER.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pst699

Working Papers

2025

1. Tail expectile-VaR estimation in the semiparametric Generalized Pareto model
   TSE Working Papers, Toulouse School of Economics (TSE)

2024

2. An expectile computation cookbook
   Post-Print, HAL
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2023) View citations (1)
3. Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
   Papers, arXiv.org
   See also Journal Article Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks, Insurance: Mathematics and Economics, Elsevier (2023) View citations (1) (2023)
4. Corrected inference about the extreme Expected Shortfall in the general max-domain of attraction
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
5. Extreme expectile estimation for short-tailed data
   Post-Print, HAL View citations (2)
   See also Journal Article Extreme expectile estimation for short-tailed data, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)
6. Extreme expectile estimation for short-tailed data, with an application to market risk assessment
   TSE Working Papers, Toulouse School of Economics (TSE)
7. Extremile Regression
   Post-Print, HAL
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2024)
   Post-Print, HAL (2021) View citations (1)
   TSE Working Papers, Toulouse School of Economics (TSE) (2021) View citations (2)
   See also Journal Article Extremile Regression, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (6) (2022)

2023

8. Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
   TSE Working Papers, Toulouse School of Economics (TSE)
9. Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions
   TSE Working Papers, Toulouse School of Economics (TSE)
10. Inference for extremal regression with dependent heavy-tailed data
    TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
    Also in Post-Print, HAL (2023)
11. Optimal weighted pooling for inference about the tail index and extreme quantiles
    TSE Working Papers, Toulouse School of Economics (TSE)

2021

12. Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models
    Post-Print, HAL View citations (16)
13. GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
    Papers, arXiv.org
    See also Journal Article GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series, Quantitative Finance, Taylor & Francis Journals (2022) View citations (2) (2022)

2018

14. Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling
    Post-Print, HAL View citations (1)
    See also Journal Article ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING, ASTIN Bulletin, Cambridge University Press (2018) View citations (2) (2018)
15. ExpectHill estimation, extreme risk and heavy tails
    TSE Working Papers, Toulouse School of Economics (TSE)
    See also Journal Article ExpectHill estimation, extreme risk and heavy tails, Journal of Econometrics, Elsevier (2021) View citations (9) (2021)
16. Tail expectile process and risk assessment
    TSE Working Papers, Toulouse School of Economics (TSE) View citations (5)

2017

17. Estimation of Tail Risk based on Extreme Expectiles
    TSE Working Papers, Toulouse School of Economics (TSE) View citations (9)
    See also Journal Article Estimation of tail risk based on extreme expectiles, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2018) View citations (50) (2018)
18. Extreme M-quantiles as risk measures: From L1 to Lp optimization
    TSE Working Papers, Toulouse School of Economics (TSE) View citations (2)

2016

19. Estimating the conditional extreme-value index under random right-censoring
    Post-Print, HAL View citations (9)
    See also Journal Article Estimating the conditional extreme-value index under random right-censoring, Journal of Multivariate Analysis, Elsevier (2016) View citations (9) (2016)
20. On the weak convergence of the kernel density estimator in the uniform topology
    Post-Print, HAL View citations (1)

2015

21. Erratum to: Estimating extreme quantiles under random truncation
    Post-Print, HAL View citations (2)
    See also Journal Article Erratum to: Estimating extreme quantiles under random truncation, TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer (2015) View citations (6) (2015)
22. Transformations to symmetry based on the probability weighted characteristic function
    Post-Print, HAL View citations (2)

2014

23. On the weak convergence of kernel density estimators in Lp spaces
    Post-Print, HAL

2013

24. Estimation of the parameters of a Markov-modulated loss process in insurance
    Post-Print, HAL View citations (6)

Journal Articles

2024

1. Extreme expectile estimation for short-tailed data
   Journal of Econometrics, 2024, 241, (2) View citations (2)
   See also Working Paper Extreme expectile estimation for short-tailed data, Post-Print (2024) View citations (2) (2024)

2023

2. Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
   Insurance: Mathematics and Economics, 2023, 111, (C), 173-192 View citations (1)
   See also Working Paper Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks, Papers (2024) (2024)
3. Tail Risk Inference via Expectiles in Heavy-Tailed Time Series
   Journal of Business & Economic Statistics, 2023, 41, (3), 876-889 View citations (7)

2022

4. Extremile Regression
   Journal of the American Statistical Association, 2022, 117, (539), 1579-1586 View citations (6)
   See also Working Paper Extremile Regression, Post-Print (2024) (2024)
5. Functional estimation of extreme conditional expectiles
   Econometrics and Statistics, 2022, 21, (C), 131-158 View citations (2)
6. GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
   Quantitative Finance, 2022, 22, (7), 1277-1294 View citations (2)
   See also Working Paper GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series, Papers (2021) (2021)
7. Nonparametric extreme conditional expectile estimation
   Scandinavian Journal of Statistics, 2022, 49, (1), 78-115 View citations (12)

2021

8. ExpectHill estimation, extreme risk and heavy tails
   Journal of Econometrics, 2021, 221, (1), 97-117 View citations (9)
   See also Working Paper ExpectHill estimation, extreme risk and heavy tails, TSE Working Papers (2018) (2018)
9. The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections
   Sankhya A: The Indian Journal of Statistics, 2021, 83, (1), 254-282 View citations (1)

2020

10. Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization
    Scandinavian Journal of Statistics, 2020, 47, (3), 922-949 View citations (2)

2019

11. Extremiles: A New Perspective on Asymmetric Least Squares
    Journal of the American Statistical Association, 2019, 114, (527), 1366-1381 View citations (13)
12. On a class of norms generated by nonnegative integrable distributions
    Dependence Modeling, 2019, 7, (1), 259-278

2018

13. ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING
    ASTIN Bulletin, 2018, 48, (1), 375-411 View citations (2)
    See also Working Paper Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling, Post-Print (2018) View citations (1) (2018)
14. Estimation of tail risk based on extreme expectiles
    Journal of the Royal Statistical Society Series B, 2018, 80, (2), 263-292 View citations (50)
    See also Working Paper Estimation of Tail Risk based on Extreme Expectiles, TSE Working Papers (2017) View citations (9) (2017)
15. Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
    Econometrics and Statistics, 2018, 6, (C), 129-148 View citations (7)

2017

16. An offspring of multivariate extreme value theory: The max-characteristic function
    Journal of Multivariate Analysis, 2017, 154, (C), 85-95 View citations (4)

2016

17. Estimating the conditional extreme-value index under random right-censoring
    Journal of Multivariate Analysis, 2016, 144, (C), 1-24 View citations (9)
    See also Working Paper Estimating the conditional extreme-value index under random right-censoring, Post-Print (2016) View citations (9) (2016)

2015

18. Erratum to: Estimating extreme quantiles under random truncation
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2015, 24, (2), 228-228 View citations (6)
    See also Working Paper Erratum to: Estimating extreme quantiles under random truncation, Post-Print (2015) View citations (2) (2015)
19. Estimating extreme quantiles under random truncation
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2015, 24, (2), 207-227 View citations (7)

2013

20. Frontier estimation with kernel regression on high order moments
    Journal of Multivariate Analysis, 2013, 116, (C), 172-189 View citations (2)

2012

21. Estimating an endpoint with high order moments in the Weibull domain of attraction
    Statistics & Probability Letters, 2012, 82, (12), 2136-2144 View citations (3)
22. Estimating an endpoint with high-order moments
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, 21, (4), 697-729 View citations (3)