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Details about Gilles STUPFLER

Homepage:https://math.univ-angers.fr/~stupfler
Workplace:Université d'Angers - Faculté des Sciences, Département de Mathématiques

Access statistics for papers by Gilles STUPFLER.

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

Short-id: pst699


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Working Papers

2025

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

2024

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

    See also Journal Article Extremile Regression, Journal of the American Statistical Association, Taylor & Francis Journals (2022) Downloads View citations (6) (2022)

2023

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

2021

  1. Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models
    Post-Print, HAL Downloads View citations (16)
  2. GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
    Papers, arXiv.org Downloads
    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) Downloads View citations (2) (2022)

2018

  1. Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling
    Post-Print, HAL Downloads 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) Downloads View citations (2) (2018)
  2. ExpectHill estimation, extreme risk and heavy tails
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads
    See also Journal Article ExpectHill estimation, extreme risk and heavy tails, Journal of Econometrics, Elsevier (2021) Downloads View citations (9) (2021)
  3. Tail expectile process and risk assessment
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads View citations (5)

2017

  1. Estimation of Tail Risk based on Extreme Expectiles
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads 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) Downloads View citations (49) (2018)
  2. Extreme M-quantiles as risk measures: From L1 to Lp optimization
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads View citations (2)

2016

  1. 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) Downloads View citations (9) (2016)
  2. On the weak convergence of the kernel density estimator in the uniform topology
    Post-Print, HAL View citations (1)

2015

  1. 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) Downloads View citations (6) (2015)
  2. Transformations to symmetry based on the probability weighted characteristic function
    Post-Print, HAL View citations (2)

2014

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

2013

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

Journal Articles

2024

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

2023

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

2022

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

2021

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

2020

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

2019

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

2018

  1. ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING
    ASTIN Bulletin, 2018, 48, (1), 375-411 Downloads 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) Downloads View citations (1) (2018)
  2. Estimation of tail risk based on extreme expectiles
    Journal of the Royal Statistical Society Series B, 2018, 80, (2), 263-292 Downloads View citations (49)
    See also Working Paper Estimation of Tail Risk based on Extreme Expectiles, TSE Working Papers (2017) Downloads View citations (9) (2017)
  3. Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
    Econometrics and Statistics, 2018, 6, (C), 129-148 Downloads View citations (7)

2017

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

2016

  1. Estimating the conditional extreme-value index under random right-censoring
    Journal of Multivariate Analysis, 2016, 144, (C), 1-24 Downloads 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

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

2013

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

2012

  1. Estimating an endpoint with high order moments in the Weibull domain of attraction
    Statistics & Probability Letters, 2012, 82, (12), 2136-2144 Downloads View citations (3)
  2. 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 Downloads View citations (3)
 
Page updated 2025-04-01