A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators

DOI10.1007/978-3-319-18029-8_23zbMath1329.62229OpenAlexW1226328117MaRDI QIDQ3459685

M. Ivette Gomes, M. Fátima Brilhante, Dinis Pestana

Publication date: 11 January 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-18029-8_23

zbMATH Keywords

semiparametric estimationstatistics of extremesvalue-at-risk estimationheavy right tails

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Related Items (1)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application

Cites Work

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