Efficiently Weighted Estimation of Tail and Interquantile Expectations.
Tail expectations have recently attracted much attention in economics for their ability to capture risk. We develop a semiparametric estimator for the joint estimation of (nonlinear) models of tail expectations with some tail quantile as the left or right threshold, and interquantile expectations, p...
| Publicado en: | Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 28 |
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| Formato: | Artículo |
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Oxford University Press / USA
2026
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| Acceso en línea: | Ver este registro en EBSCOhost |