A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation (Q4912037)
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scientific article; zbMATH DE number 6147490
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| English | A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation |
scientific article; zbMATH DE number 6147490 |
Statements
A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation (English)
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21 March 2013
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statistics of extremes
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value-at-risk
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semiparametric estimation
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heuristics
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0.8822528719902039
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0.8336209654808044
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0.8217915296554565
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0.8119228482246399
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0.8046097755432129
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