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- W2984360615 abstract "Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. [22]. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator of extreme multivariate expectiles in the Frechet domain of attraction case with asymptotic independence, or for comonotonic marginal distributions. (This abstract was borrowed from another version of this item.)" @default.
- W2984360615 created "2019-11-22" @default.
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- W2984360615 date "2018-11-14" @default.
- W2984360615 modified "2023-09-27" @default.
- W2984360615 title "Extremes for multivariate expectiles" @default.
- W2984360615 hasPublicationYear "2018" @default.
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