Gilles STUPFLER : Citation Profile

Are you Gilles STUPFLER?

5

H index

1

i10 index

115

Citations

RESEARCH PRODUCTION:

21

Articles

28

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 9
   Journals where Gilles STUPFLER has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 23 (16.67 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst699
   Updated: 2024-11-08    RAS profile: 2024-07-05    
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Relations with other researchers

Works with:

Daouia, Abdelaati (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gilles STUPFLER.

Is cited by:

Taamouti, Abderrahim (4)

Burdejová, Petra (2)

Daouia, Abdelaati (2)

Righi, Marcelo (2)

Herrera, Rodrigo (1)

Härdle, Wolfgang (1)

Kuosmanen, Timo (1)

GONZALEZ SANCHEZ, MARIANO (1)

Zhou, Xun (1)

Enjolras, Geoffroy (1)

Rulliere, Didier (1)

Cites to:

Daouia, Abdelaati (29)

Powell, James (15)

Newey, Whitney (14)

Einmahl, John (12)

Müller, Alfred (10)

Kuan, Chung-Ming (9)

Hsu, Yu-Chin (9)

Artzner, Philippe (8)

Simar, Leopold (7)

Zhou, Chen (7)

Acerbi, Carlo (7)

Main data

Where Gilles STUPFLER has published?

Journals with more than one article published# docs
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of Multivariate Analysis3
Journal of Econometrics2
Journal of the American Statistical Association2
Econometrics and Statistics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL14
TSE Working Papers / Toulouse School of Economics (TSE)13

Recent works citing Gilles STUPFLER (2024 and 2023)

YearTitle of citing document
2023A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2023Variable Screening and Model Averaging for Expectile Regressions. (2023). Wang, Siwei ; Tu, Yundong. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:3:p:574-598.

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2023Nonparametric estimation of conditional cure models for heavy-tailed distributions and under insufficient follow-up. (2023). van Keilegom, Ingrid ; Escobar-Bach, Mikael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:183:y:2023:i:c:s0167947323000397.

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2024Goodness–of–fit tests based on the min–characteristic function. (2024). Meintanis, S G ; Jimenezgamero, M D ; Miloevi, B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:197:y:2024:i:c:s0167947324000720.

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2023A Γ-moment approach to monotonic boundary estimation. (2014). Daouia, Abdelaati ; Girard, Stephane ; Guillou, Armelle. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:727-740.

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2024Retire: Robust expectile regression in high dimensions. (2024). Zhou, Wen-Xin ; Wang, Zian ; Tan, Kean Ming ; Man, Rebeka. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537.

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2023A Weissman-type estimator of the conditional marginal expected shortfall. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:173-196.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2023Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement. (2023). Nave, Juan M ; Gonzalez-Sanchez, Mariano. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000285.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2023Extreme partial least-squares. (2023). Enjolras, Geoffroy ; Girard, Stephane ; Bousebata, Meryem. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22000926.

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2023Local linear estimate of the functional expectile regression. (2023). Mechab, Boubaker ; Laksaci, Ali ; Litimein, Ouahiba ; Bouzebda, Salim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:192:y:2023:i:c:s016771522200195x.

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2023.

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2023Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Maurer, Frantz ; Tzagkarakis, George. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3.

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2023On dealing with the unknown population minimum in parametric inference. (2023). Suzuki, Adriano Kamimura ; Junqueira, Matheus Henrique. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:3:d:10.1007_s10182-022-00445-9.

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2023Bias Reduction in Kernel Tail Index Estimation for Randomly Truncated Pareto-Type Data. (2023). Benchaira, Souad ; Necir, Abdelhakim ; Mancer, Saida. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:85:y:2023:i:2:d:10.1007_s13171-022-00303-5.

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2023Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments. (2023). Li, Han-Yu ; Zhang, Ying-Ying ; Wu, Hong-Jiang. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:2:d:10.1007_s00362-022-01329-5.

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2023From Halfspace M-Depth to Multiple-output Expectile Regression. (2019). Paindaveine, Davy ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:123159.

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2023Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02.

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2023When copulas and smoothing met: An interview with Irène Gijbels. (2023). Matthias, Scherer ; Christian, Genest. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:16:n:1.

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Works by Gilles STUPFLER:

YearTitleTypeCited
2021GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series In: Papers.
[Full Text][Citation analysis]		paper2
2022GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2018Estimation of tail risk based on extreme expectiles In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article33
2017Estimation of Tail Risk based on Extreme Expectiles.(2017) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2022Nonparametric extreme conditional expectile estimation In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article4
2018ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING In: ASTIN Bulletin.
[Full Text][Citation analysis]		article1
2018Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2021ExpectHill estimation, extreme risk and heavy tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2018ExpectHill estimation, extreme risk and heavy tails.(2018) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2024Extreme expectile estimation for short-tailed data In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2022Functional estimation of extreme conditional expectiles In: Econometrics and Statistics.
[Full Text][Citation analysis]		article2
2018Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions In: Econometrics and Statistics.
[Full Text][Citation analysis]		article1
2023Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2013Frontier estimation with kernel regression on high order moments In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2016Estimating the conditional extreme-value index under random right-censoring In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article5
2016Estimating the conditional extreme-value index under random right-censoring.(2016) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2017An offspring of multivariate extreme value theory: The max-characteristic function In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2012Estimating an endpoint with high order moments in the Weibull domain of attraction In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article3
2013Estimation of the parameters of a Markov-modulated loss process in insurance In: Post-Print.
[Full Text][Citation analysis]		paper8
2016On the weak convergence of the kernel density estimator in the uniform topology In: Post-Print.
[Citation analysis]		paper1
2015Erratum to: Estimating extreme quantiles under random truncation In: Post-Print.
[Citation analysis]		paper4
2015Erratum to: Estimating extreme quantiles under random truncation.(2015) In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2015Estimating extreme quantiles under random truncation In: Post-Print.
[Citation analysis]		paper4
2015Transformations to symmetry based on the probability weighted characteristic function In: Post-Print.
[Citation analysis]		paper2
2014On the weak convergence of kernel density estimators in Lp spaces In: Post-Print.
[Citation analysis]		paper0
2021Extremile regression In: Post-Print.
[Citation analysis]		paper6
2022Extremile Regression.(2022) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 6		article
2021Extremile Regression.(2021) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2024Extremile Regression.(2024) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2021Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models In: Post-Print.
[Full Text][Citation analysis]		paper7
2023Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions In: Post-Print.
[Citation analysis]		paper0
2024An expectile computation cookbook In: Post-Print.
[Full Text][Citation analysis]		paper1
2023An expectile computation cookbook.(2023) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2023Inference for extremal regression with dependent heavy-tailed data In: Post-Print.
[Full Text][Citation analysis]		paper0
2023Inference for extremal regression with dependent heavy-tailed data.(2023) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2024Optimal weighted pooling for inference about the tail index and extreme quantiles In: Post-Print.
[Citation analysis]		paper0
2023Optimal weighted pooling for inference about the tail index and extreme quantiles.(2023) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2021The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections In: Sankhya A: The Indian Journal of Statistics.
[Full Text][Citation analysis]		article1
2012Estimating an endpoint with high-order moments In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article3
2015Estimating extreme quantiles under random truncation In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article5
2019Extremiles: A New Perspective on Asymmetric Least Squares In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article8
2023Tail Risk Inference via Expectiles in Heavy-Tailed Time Series In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2023Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
2024Extreme expectile estimation for short-tailed data, with an application to market risk assessment In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
2023Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
2024A unified theory of extreme Expected Shortfall inference In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
2017Extreme M-quantiles as risk measures: From L1 to Lp optimization In: TSE Working Papers.
[Full Text][Citation analysis]		paper2
2018Tail expectile process and risk assessment In: TSE Working Papers.
[Full Text][Citation analysis]		paper2
2019On a class of norms generated by nonnegative integrable distributions In: Dependence Modeling.
[Full Text][Citation analysis]		article0

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