Tail Risk Inference via Expectiles in Heavy-Tailed Time Series
重尾时间序列中基于期望分位数的尾部风险推断
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but further results are needed to establish that extreme expectiles can be applied with the kind of dependent time series models relevant to finance. In this article we provide a basis for inference on extreme expectiles and expectile-based…