Gilles STUPFLER
Names
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Gilles |
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STUPFLER |
Identifer
Contact
Affiliations
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Université d'Angers - Faculté des Sciences, Département de Mathématiques
- https://math.univ-angers.fr/
- location: Angers
Research profile
author of:
- GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (RePEc:arx:papers:2104.09879)
by Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler - Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks (RePEc:arx:papers:2411.07212)
by Tiantian Mao & Gilles Stupfler & Fan Yang - Estimation of tail risk based on extreme expectiles (RePEc:bla:jorssb:v:80:y:2018:i:2:p:263-292)
by Abdelaati Daouia & Stéphane Girard & Gilles Stupfler - Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization (RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949)
by Laurent Gardes & Stéphane Girard & Gilles Stupfler - Nonparametric extreme conditional expectile estimation (RePEc:bla:scjsta:v:49:y:2022:i:1:p:78-115)
by Stéphane Girard & Gilles Stupfler & Antoine Usseglio‐Carleve - Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling (RePEc:cup:astinb:v:48:y:2018:i:01:p:375-411_00)
by Stupfler, Gilles & Yang, Fan - ExpectHill estimation, extreme risk and heavy tails (RePEc:eee:econom:v:221:y:2021:i:1:p:97-117)
by Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles - Extreme expectile estimation for short-tailed data (RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001167)
by Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles - Functional estimation of extreme conditional expectiles (RePEc:eee:ecosta:v:21:y:2022:i:c:p:131-158)
by Girard, Stéphane & Stupfler, Gilles & Usseglio-Carleve, Antoine - Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions (RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148)
by El Methni, Jonathan & Stupfler, Gilles - Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks (RePEc:eee:insuma:v:111:y:2023:i:c:p:173-192)
by Mao, Tiantian & Stupfler, Gilles & Yang, Fan - Frontier estimation with kernel regression on high order moments (RePEc:eee:jmvana:v:116:y:2013:i:c:p:172-189)
by Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles - Estimating the conditional extreme-value index under random right-censoring (RePEc:eee:jmvana:v:144:y:2016:i:c:p:1-24)
by Stupfler, Gilles - An offspring of multivariate extreme value theory: The max-characteristic function (RePEc:eee:jmvana:v:154:y:2017:i:c:p:85-95)
by Falk, Michael & Stupfler, Gilles - Estimating an endpoint with high order moments in the Weibull domain of attraction (RePEc:eee:stapro:v:82:y:2012:i:12:p:2136-2144)
by Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles - Estimation of the parameters of a Markov-modulated loss process in insurance (RePEc:hal:journl:hal-00589696)
by Armelle Guillou & Stéphane Loisel & Gilles Stupfler - Estimating the conditional extreme-value index under random right-censoring (RePEc:hal:journl:hal-01446199)
by Gilles Stupfler - On the weak convergence of the kernel density estimator in the uniform topology (RePEc:hal:journl:hal-01447844)
by Gilles Stupfler - Erratum to: Estimating extreme quantiles under random truncation (RePEc:hal:journl:hal-01456099)
by Laurent Gardes & Gilles Stupfler - Unknown item RePEc:hal:journl:hal-01456111 (paper)
- Transformations to symmetry based on the probability weighted characteristic function (RePEc:hal:journl:hal-01457397)
by Simos G. Meintanis & Gilles Stupfler - On the weak convergence of kernel density estimators in Lp spaces (RePEc:hal:journl:hal-01474248)
by Gilles Stupfler - Extremile regression (RePEc:hal:journl:hal-03181017)
by Abdelaati Daouia & Irene Gijbels & Gilles Stupfler - Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models (RePEc:hal:journl:hal-03306230)
by Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve - Unknown item RePEc:hal:journl:hal-04022737 (paper)
- Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling (RePEc:hal:journl:hal-04464416)
by Gilles Stupfler & Fan Yang - An expectile computation cookbook (RePEc:hal:journl:hal-04524319)
by Abdelaati Daouia & Gilles Stupfler & Antoine Usseglio-Carleve - Inference for extremal regression with dependent heavy-tailed data (RePEc:hal:journl:hal-04554050)
by Abdelaati Daouia & Gilles Claude Stupfler & Antoine Usseglio-Carleve - Optimal weighted pooling for inference about the tail index and extreme quantiles (RePEc:hal:journl:hal-04557408)
by Abdelaati Daouia & Simone A. Padoan & Gilles Claude Stupfler - Extreme expectile estimation for short-tailed data (RePEc:hal:journl:hal-04672516)
by Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler - Extremile Regression (RePEc:hal:journl:hal-04697061)
by Abdelaati Daouia & Gilles Stupfler - The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections (RePEc:spr:sankha:v:83:y:2021:i:1:d:10.1007_s13171-019-00184-1)
by Michael Falk & Gilles Stupfler - Estimating an endpoint with high-order moments (RePEc:spr:testjl:v:21:y:2012:i:4:p:697-729)
by Stéphane Girard & Armelle Guillou & Gilles Stupfler - Estimating extreme quantiles under random truncation (RePEc:spr:testjl:v:24:y:2015:i:2:p:207-227)
by Laurent Gardes & Gilles Stupfler - Erratum to: Estimating extreme quantiles under random truncation (RePEc:spr:testjl:v:24:y:2015:i:2:p:228-228)
by Laurent Gardes & Gilles Stupfler - Extremiles: A New Perspective on Asymmetric Least Squares (RePEc:taf:jnlasa:v:114:y:2019:i:527:p:1366-1381)
by Abdelaati Daouia & Irène Gijbels & Gilles Stupfler - Extremile Regression (RePEc:taf:jnlasa:v:117:y:2022:i:539:p:1579-1586)
by Abdelaati Daouia & Irène Gijbels & Gilles Stupfler - Tail Risk Inference via Expectiles in Heavy-Tailed Time Series (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:876-889)
by Anthony C. Davison & Simone A. Padoan & Gilles Stupfler - GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (RePEc:taf:quantf:v:22:y:2022:i:7:p:1277-1294)
by H. Kaibuchi & Y. Kawasaki & G. Stupfler - Extremile Regression (RePEc:tse:wpaper:125140)
by Daouia, Abdelaati & Gijbels, Irene & Stupfler, Gilles - Optimal weighted pooling for inference about the tail index and extreme quantiles (RePEc:tse:wpaper:126783)
by Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles - Extreme value modelling of SARS-CoV-2 community transmission using discrete Generalised Pareto distributions (RePEc:tse:wpaper:126784)
by Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine - Inference for extremal regression with dependent heavy-tailed data (RePEc:tse:wpaper:126785)
by Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine - Extreme expectile estimation for short-tailed data, with an application to market risk assessment (RePEc:tse:wpaper:127937)
by Daouia, Abdelaati & Padoan, Simone A. & Stupfler, Gilles - Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles (RePEc:tse:wpaper:128141)
by Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine - An expectile computation cookbook (RePEc:tse:wpaper:128323)
by Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine - Extremile Regression (RePEc:tse:wpaper:129421)
by Daouia, Abdelaati & Stupfler, Gilles - A unified theory of extreme Expected Shortfall inference (RePEc:tse:wpaper:129693)
by Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine - Estimation of Tail Risk based on Extreme Expectiles (RePEc:tse:wpaper:29257)
by Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles - Extreme M-quantiles as risk measures: From L1 to Lp optimization (RePEc:tse:wpaper:32050)
by Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles - Tail expectile process and risk assessment (RePEc:tse:wpaper:32890)
by Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles - ExpectHill estimation, extreme risk and heavy tails (RePEc:tse:wpaper:32939)
by Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles - On a class of norms generated by nonnegative integrable distributions (RePEc:vrs:demode:v:7:y:2019:i:1:p:259-278:n:14)
by Falk Michael & Stupfler Gilles