A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

DOI10.1080/00949655.2010.547196zbMath1318.62158OpenAlexW1998121073MaRDI QIDQ4912037

M. Ivette Gomes, Fernanda Figueiredo, M. Cristina Miranda, Lígia Henriques-Rodrigues

Publication date: 21 March 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.547196

zbMATH Keywords

heuristicssemiparametric estimationvalue-at-riskstatistics of extremes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Improved inference on risk measures for univariate extremes ⋮ A modeler's guide to extreme value software ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model

Uses Software

• QRM

Cites Work

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