Corrected-Hill versus partially reduced-bias value-at-risk estimation (Q5088009): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610918.2018.1489053
+Normal rank
@@ Property / OpenAlex ID @@
+W2912616883
@@ Property / OpenAlex ID: W2912616883 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2921611
@@ Property / cites work: Q2921611 / rank @@
+Normal rank
@@ Property / cites work @@
+The harmonic moment tail index estimator: asymptotic distribution and robustness
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4862306
@@ Property / cites work: Q4862306 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple generalisation of the Hill estimator
@@ Property / cites work: A simple generalisation of the Hill estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-parametric second-order reduced-bias high quantile estimation
+Normal rank
@@ Property / cites work @@
+Q3434069
@@ Property / cites work: Q3434069 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparison of tail index estimators
@@ Property / cites work: Comparison of tail index estimators / rank @@
+Normal rank
@@ Property / cites work @@
+On Smooth Statistical Tail Functionals
@@ Property / cites work: On Smooth Statistical Tail Functionals / rank @@
+Normal rank
@@ Property / cites work @@
+Q4410085
@@ Property / cites work: Q4410085 / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme quantile estimation for dependent data, with applications to finance
+Normal rank
@@ Property / cites work @@
+Statistics of Heteroscedastic Extremes
@@ Property / cites work: Statistics of Heteroscedastic Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Mixed moment estimator and location invariant alternatives
+Normal rank
@@ Property / cites work @@
+Q3762535
@@ Property / cites work: Q3762535 / rank @@
+Normal rank
@@ Property / cites work @@
+Sur la distribution limite du terme maximum d'une série aléatoire
+Normal rank
@@ Property / cites work @@
+Q3295357
@@ Property / cites work: Q3295357 / rank @@
+Normal rank
@@ Property / cites work @@
+Bias reduction in risk modelling: semi-parametric quantile estimation
+Normal rank
@@ Property / cites work @@
+Extreme Value Theory and Statistics of Univariate Extremes: A Review
+Normal rank
@@ Property / cites work @@
+The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
+Normal rank
@@ Property / cites work @@
+A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator
+Normal rank
@@ Property / cites work @@
+Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology
+Normal rank
@@ Property / cites work @@
+Adaptive estimation of heavy right tails: resampling-based methods in action
+Normal rank
@@ Property / cites work @@
+Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
+Normal rank
@@ Property / cites work @@
+A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
+Normal rank
@@ Property / cites work @@
+Q4687071
@@ Property / cites work: Q4687071 / rank @@
+Normal rank
@@ Property / cites work @@
+New Reduced-bias Estimators of a Positive Extreme Value Index
+Normal rank
@@ Property / cites work @@
+Q3670359
@@ Property / cites work: Q3670359 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive estimates of parameters of regular variation
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Modeling extreme events: sample fraction adaptive choice in parameter estimation
+Normal rank
@@ Property / cites work @@
+On an improvement of Hill and some other estimators
+Normal rank
@@ Property / cites work @@
+A class of new tail index estimators
@@ Property / cites work: A class of new tail index estimators / rank @@
+Normal rank
@@ Property / cites work @@
+Regularly varying functions
@@ Property / cites work: Regularly varying functions / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5088009