Corrected-Hill versus partially reduced-bias value-at-risk estimation (2020)
- Authors:
- Autor USP: RODRIGUES, LIGIA CARLA PINTO HENRIQUES JORGE - IME
- Unidade: IME
- DOI: 10.1080/03610918.2018.1489053
- Subjects: DISTRIBUIÇÕES (PROBABILIDADE); MÉTODO DE MONTE CARLO; ANÁLISE DE RISCO
- Keywords: Heavy right tails; Heuristic sample fraction selection; Monte-Carlo simulation; Semi-parametric estimation; Statistics of extremes; Value-at-risk estimation
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Communications in Statistics - Simulation and Computation
- ISSN: 0361-0918
- Volume/Número/Paginação/Ano: v. 49, n. 4, o. 867-885, 2020
- Este periódico é de assinatura
- Este artigo NÃO é de acesso aberto
- Cor do Acesso Aberto: closed
-
ABNT
GOMES, M. Ivette et al. Corrected-Hill versus partially reduced-bias value-at-risk estimation. Communications in Statistics - Simulation and Computation, v. 49, n. 4, 2020Tradução . . Disponível em: https://doi.org/10.1080/03610918.2018.1489053. Acesso em: 30 abr. 2024. -
APA
Gomes, M. I., Caeiro, F., Figueiredo, F., Rodrigues, L. C. P. H. J., & Pestana, D. (2020). Corrected-Hill versus partially reduced-bias value-at-risk estimation. Communications in Statistics - Simulation and Computation, 49( 4). doi:10.1080/03610918.2018.1489053 -
NLM
Gomes MI, Caeiro F, Figueiredo F, Rodrigues LCPHJ, Pestana D. Corrected-Hill versus partially reduced-bias value-at-risk estimation [Internet]. Communications in Statistics - Simulation and Computation. 2020 ; 49( 4):[citado 2024 abr. 30 ] Available from: https://doi.org/10.1080/03610918.2018.1489053 -
Vancouver
Gomes MI, Caeiro F, Figueiredo F, Rodrigues LCPHJ, Pestana D. Corrected-Hill versus partially reduced-bias value-at-risk estimation [Internet]. Communications in Statistics - Simulation and Computation. 2020 ; 49( 4):[citado 2024 abr. 30 ] Available from: https://doi.org/10.1080/03610918.2018.1489053 - Bootstrap methods in statistics of extremes
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- Adaptive estimation for light-tailed models
- Competitive estimation of the extreme value index
- Reduced‐bias kernel estimators of a positive extreme value index
- Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison
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Informações sobre o DOI: 10.1080/03610918.2018.1489053 (Fonte: oaDOI API)
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