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 |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=192849868&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 192849868 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: 2026 vid: 24 iid: 2 pid: 622 pub: Oxford University Press / USA artinfo: ui: 192849868 10.1093/jjfinec/nbag003 ppf: 1 ppct: 27 formats: tig: atl: Efficiently Weighted Estimation of Tail and Interquantile Expectations. aug: au: Barendse, Sander affil: Faculty of Economics and Business, University of Amsterdam, Roetersstraat 11, Amsterdam, 1018 WB, The Netherlands su: Heterogeneity Investment risk Conditional probability Finance software Portfolio management (Investments) sug: subj: Heterogeneity Portfolio Management Investment risk Conditional probability Finance software Portfolio management (Investments) keyword: C13 C14 C32 C58 copyrightHolder:Oxford University Press copyrightYear:2026 expected shortfall G32 inLanguage:en interquantile expectation publisher:Oxford University Press quantile quantile regression risk management sameAs:https://dx.doi.org/10.1093/jjfinec/nbag003 tail expectation C13 C14 C32 C58 copyrightHolder:Oxford University Press copyrightYear:2026 expected shortfall G32 inLanguage:en interquantile expectation publisher:Oxford University Press quantile quantile regression risk management sameAs:https://dx.doi.org/10.1093/jjfinec/nbag003 tail expectation ab: 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, partial expectations between two thresholding quantiles. The joint estimator of these quantities can be used to test for heterogeneity in the conditional distribution, with special attention to distinct tail behavior. We derive efficient weights and asymptotic properties of the estimator for time-series data. The estimator does not require the specification of the conditional distribution, and its computation relies on standard techniques. In an empirical application in finance, we test for a disproportionate contribution of tail events to the average abnormal return of portfolio strategies. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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