Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application (Q5036848)
From MaRDI portal
scientific article; zbMATH DE number 7480154
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application |
scientific article; zbMATH DE number 7480154 |
Statements
Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application (English)
0 references
23 February 2022
0 references
bias reduction
0 references
heavy right-tails
0 references
heuristic methods
0 references
Monte-Carlo simulation
0 references
semi-parametric estimation
0 references
statistics of extremes
0 references
value-at-risk estimation
0 references
0 references
0 references
0 references
