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Investment Risk Measurement Based on Quantiles and Expectiles
Acta Universitatis Lodziensis. Folia Oeconomica, 2018 In the presented research, we attempt to examine special investment risk measurement. We use quantile regression as a model by describing more general properties of the response distribution.
Grażyna Trzpiot
doaj +1 more source
Economic Growth Vulnerability Across Euro Area Countries
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We analyse growth vulnerability in the four largest Euro Area (EA) economies, measured as a lower quantile of the growth distribution conditional on EA‐wide and country‐specific macroeconomic/financial factors. Growth densities are obtained under a normal activity scenario and under stressed conditions.
Claudio Lissona, Esther Ruiz
wiley +1 more source
, 2015 In this thesis we present an alternative to quantiles, which is known as expectiles. At first we define the notion of expectile of a distribution of ran- dom variable and then we show some of its basic properties such as linearity or monotonic behavior ...
Ondřej, Josef
core
Hidden Markov Quantile Models With Trends for Analysing Air Temperature Data
International Journal of Climatology, Volume 46, Issue 6, May 2026.There is the question of whether climate change, expressed by time‐trends in temperature, is of a heterogeneous nature or not. Here, the time‐trend heterogeneity argument has been investigated using Hidden Markov (HM) quantile time‐trends models in temperature time series.
Georgios Tsiotas +2 more
wiley +1 more source
Sparse Robust Weighted Expectile Screening for Ultra-High-Dimensional Data
AxiomsThis paper investigates robust feature screening for ultra-high dimensional data in the presence of outliers and heterogeneity. Considering the susceptibility of likelihood methods to outliers, we propose a Sparse Robust Weighted Expectile Regression ...
Xianjun Wu, Pingping Han, Mingqiu Wang
doaj +1 more source
Environmetrics, Volume 37, Issue 3, April 2026.ABSTRACT We propose a new time series model for continuous data supported on the open unit interval (0,1)$$ \left(0,1\right) $$, motivated by applications in environmental and energy systems. The Matsuoka autoregressive moving average (MARMA) model combines the Matsuoka distribution‐a uniparametric member of the canonical exponential family‐as the ...
Guilherme Pumi +3 more
wiley +1 more source
T‐calibration in semi‐parametric models
Canadian Journal of Statistics, Volume 54, Issue 1, March 2026.AbstractThis article relates the calibration of models to the consistent loss functions for the target functional of the model. Correctly specified models are calibrated. Conversely, we demonstrate that if there is a parameter value that is optimal under all consistent loss functions, then a model is calibrated.
Anja Mühlemann, Johanna Ziegel
wiley +1 more source
Environmetrics, Volume 37, Issue 2, March 2026.ABSTRACT Climate changes, soil degradation, and desertification increasingly threaten the entire territory of Italy due to the complex interplay between natural processes and anthropogenic forces. Motivated by this pressing issue, this paper investigates how land‐use and socioeconomic drivers have shaped desertification dynamics across Italian ...
Luca Merlo +4 more
wiley +1 more source
A Deep Learning Framework for Extreme Storm Surge Modeling Under Future Climate Scenarios
Earth's Future, Volume 14, Issue 3, March 2026.Abstract Coastal regions are increasingly exposed to sea‐level rise and intensifying storm surges, underscoring the urgent need for accurate long‐term predictions of extreme water levels to support robust adaptation planning. Physics‐based hydrodynamic storm surge models remain the gold standard for such projections, but are computationally demanding ...
Emiliano Longo +4 more
wiley +1 more source
Nonparametric expectile shortfall regression for functional data
Demonstratio MathematicaThis work addresses the issue of financial risk analysis by introducing a novel expected shortfall (ES) regression model, which employs expectile regression to define the shortfall threshold in financial risk management.
Almanjahie Ibrahim M. +4 more
doaj +1 more source