Gilles STUPFLER : Citation Profile

6

H index

1

i10 index

143

Citations

RESEARCH PRODUCTION:

23

Articles

34

Papers

RESEARCH ACTIVITY:

   13 years (2012 - 2025). See details.
   Cites by year: 11
   Journals where Gilles STUPFLER has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 27 (15.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst699
   Updated: 2026-01-17    RAS profile: 2025-10-10    
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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)

Righi, Marcelo (2)

Daouia, Abdelaati (2)

Burdejová, Petra (2)

Kuosmanen, Timo (1)

Rulliere, Didier (1)

Karlsson, Martin (1)

Härdle, Wolfgang (1)

Zhou, Xun (1)

GONZALEZ SANCHEZ, MARIANO (1)

Enjolras, Geoffroy (1)

Cites to:

Daouia, Abdelaati (32)

Powell, James (18)

Newey, Whitney (17)

Einmahl, John (14)

Kuan, Chung-Ming (11)

Müller, Alfred (11)

Hsu, Yu-Chin (11)

Acerbi, Carlo (11)

Artzner, Philippe (10)

Zhou, Chen (8)

Simar, Leopold (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 Research4
Journal of Multivariate Analysis3
Journal of Econometrics2
Journal of the American Statistical Association2
Scandinavian Journal of Statistics2
Econometrics and Statistics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL17
TSE Working Papers / Toulouse School of Economics (TSE)15
Papers / arXiv.org2

Recent works citing Gilles STUPFLER (2025 and 2024)

YearTitle of citing document
2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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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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2024Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203.

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2024Asymptotics of Sum of Heavy-tailed Risks with Copulas. (2024). Zhang, YI ; Yang, Fan. In: Papers. RePEc:arx:papers:2411.09657.

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2025Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses. (2025). Lopez, Olivier ; Nkameni, Daniel. In: Papers. RePEc:arx:papers:2507.18207.

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2024Mitigating wildfire losses via insurance‐linked securities: Modeling and risk management perspectives. (2024). Su, Jianxi ; Li, Hong. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:2:p:383-414.

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2024Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671.

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2024Estimation of the conditional tail moment for Weibull‐type distributions. (2024). Qin, Jing ; Guillou, Armelle ; Goegebeur, Yuri. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:4:p:1782-1815.

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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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2025Extremal local linear quantile regression for nonlinear dependent processes. (2025). Wang, Huixia Judy ; He, Fengyang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:206:y:2025:i:c:s0167947325000040.

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

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2025Directional Tests and Confidence Bounds on Economic Inequality. (2025). Khalaf, Lynda ; Flachaire, Emmanuel ; Dufour, Jean-Marie ; Zalghout, Abdallah. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:230-245.

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2025On tail-risk measures for non-integrable heavy-tailed random variables. (2025). Gardes, Laurent. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:84-100.

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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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

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

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2025Tail similarity. (2025). Asimit, Vali ; Yuan, Zhongyi ; Zhou, Feng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:26-44.

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2024Getting the right tail right: Modeling tails of health expenditure distributions. (2024). Ziebarth, Nicolas ; Karlsson, Martin ; Wang, Yulong. In: Journal of Health Economics. RePEc:eee:jhecon:v:97:y:2024:i:c:s0167629624000572.

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2024Asymptotic normality of the local linear estimator of the functional expectile regression. (2024). Litimein, Ouahiba ; Rachdi, Mustapha ; Ait-Hennani, Larbi ; Mechab, Boubaker ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x23001276.

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2024Estimation of extreme multivariate expectiles with functional covariates. (2024). Laloe, Thomas ; di Bernardino, Elena ; Pakzad, Cambyse. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x23001380.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2024Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series. (2024). Almulhim, Fatimah A ; Alamari, Mohammed B ; Rachdi, Mustapha ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3956-:d:1545194.

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2025A CAT Bond Pricing Model Based on the Distortion of Aggregate Loss Distributions. (2025). Ma, Ning. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3113-:d:1760744.

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2024Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. (2024). Zitikis, R ; Su, J ; Gribkova, N V. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:76:y:2024:i:5:d:10.1007_s10463-024-00904-x.

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2024A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1.

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2025Nelson-Aalen Tail Product-limit Process and Extreme Value Index Estimation Under Random Censorship. (2025). Necir, Abdelhakim ; Meraghni, Djamel ; Soltane, Louiza. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:87:y:2025:i:2:d:10.1007_s13171-025-00384-y.

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2025Asymptotic results of the randomly censored kernel-type expectile regression estimator for functional dependent data. (2025). Mohammedi, Mustapha ; Bouzebda, Salim ; Laksaci, Ali. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:28:y:2025:i:2:d:10.1007_s11203-025-09328-7.

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2024Group penalized expectile regression. (2024). Ouhourane, Mohamed ; Oualkacha, Karim ; Yi, Archer. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:5:d:10.1007_s10260-024-00768-8.

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2024Estimation and testing of expectile regression with efficient subsampling for massive data. (2024). Zhou, Yong ; Song, Shanshan ; Chen, Baolin. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:9:d:10.1007_s00362-024-01571-z.

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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
2024Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks In: Papers.
[Full Text][Citation analysis]		paper2
2023Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks.(2023) In: Insurance: Mathematics and Economics.
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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]		article40
2017Estimation of Tail Risk based on Extreme Expectiles.(2017) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 40		paper
2020Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article3
2022Nonparametric extreme conditional expectile estimation In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article6
2018ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING In: ASTIN Bulletin.
[Full Text][Citation analysis]		article3
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: 3		paper
2021ExpectHill estimation, extreme risk and heavy tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2018ExpectHill estimation, extreme risk and heavy tails.(2018) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2024Extreme expectile estimation for short-tailed data In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Extreme expectile estimation for short-tailed data.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2022Functional estimation of extreme conditional expectiles In: Econometrics and Statistics.
[Full Text][Citation analysis]		article3
2018Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions In: Econometrics and Statistics.
[Full Text][Citation analysis]		article2
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]		paper5
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: 5		article
2015Estimating extreme quantiles under random truncation In: Post-Print.
[Citation analysis]		paper5
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
2024Extremile Regression.(2024) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2024Extremile Regression.(2024) In: TSE Working Papers.
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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]		paper6
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]		paper2
2023An expectile computation cookbook.(2023) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2023Inference for extremal regression with dependent heavy-tailed data In: Post-Print.
[Full Text][Citation analysis]		paper2
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: 2		paper
2024Optimal weighted pooling for inference about the tail index and extreme quantiles In: Post-Print.
[Citation analysis]		paper0
2025Abdelaati Daouia and Gilles Stupfler’s contribution to the Discussion of the ‘Discussion Meeting on the Analysis of citizen science data’ In: Post-Print.
[Citation analysis]		paper0
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]		article6
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: 6		article
2019Extremiles: A New Perspective on Asymmetric Least Squares In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article9
2023Tail Risk Inference via Expectiles in Heavy-Tailed Time Series In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2023Optimal weighted pooling for inference about the tail index and extreme quantiles In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
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
2025Corrected inference about the extreme Expected Shortfall in the general max-domain of attraction In: TSE Working Papers.
[Full Text][Citation analysis]		paper0
2025Tail expectile-VaR estimation in the semiparametric Generalized Pareto model In: TSE Working Papers.
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2025Risk measures beyond quantiles 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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