Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology

DOI10.1080/03610926.2011.562782zbMath1227.62033OpenAlexW2161072196MaRDI QIDQ3098930

Sandra Mendonça, M. Ivette Gomes, Dinis Pestana

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562782

zbMATH Keywords

statistics of extremesvalue at risksemi-parametric estimation

Mathematics Subject Classification ID

Related Items (4)

Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ A simple generalisation of the Hill estimator

Cites Work

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