A Mean-of-Order-p Class of Value-at-Risk Estimators
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A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
Recommendations
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Cites work
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- A semi-parametric estimator of a shape second-order parameter
- A simple general approach to inference about the tail of a distribution
- A simple generalisation of the Hill estimator
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- Adaptive estimates of parameters of regular variation
- Adaptive estimation of heavy right tails: resampling-based methods in action
- An overview and open research topics in statistics of univariate extremes
- Bias reduction in risk modelling: semi-parametric quantile estimation
- Comparison of tail index estimators
- Direct reduction of bias of the classical Hill estimator
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme value theory. An introduction.
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- scientific article; zbMATH DE number 3903649 (Why is no real title available?)
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- scientific article; zbMATH DE number 2015219 (Why is no real title available?)
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- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- Kernel estimators for the second order parameter in extreme value statistics
- Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
- On optimising the estimation of high quantiles of a probability distribution
- On the estimation of high quantiles
- Semi-parametric estimation for heavy tailed distributions
- Semi-parametric second-order reduced-bias high quantile estimation
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
Cited in
(7)- A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- A note on pivotal value-at-risk estimates
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Value-at-risk estimation and the PORT mean-of-order-p methodology
- The moment estimates order promotion of the financial asset returns ``fat tail distribution shape parameter based on second order expansion form
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
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