Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
异方差极值回归模型中的极端期望分位数预测
Expectile recently receives much attention for its coherence as a tail risk measure. Estimation of conditional expectile at extremal tails is of great interest in quantitative risk management. Regression analysis is a convenient and useful way to quantify the conditional effect of some predictors or risk factors on an interesting response variable. However, when it comes to the estimation of extremal conditional expectile, the traditional inference methods may suffer from…