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...

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Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 28
Main Author:	Barendse, Sander
Format:	Article
Published:	Oxford University Press / USA 2026
Subjects:	Heterogeneity Investment risk Conditional probability Finance software Portfolio management (Investments)
Online Access:	View this record in EBSCOhost