Corrected-Hill versus partially reduced-bias value-at-risk estimation (Q5088009)
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scientific article; zbMATH DE number 7552629
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| English | Corrected-Hill versus partially reduced-bias value-at-risk estimation |
scientific article; zbMATH DE number 7552629 |
Statements
Corrected-Hill versus partially reduced-bias value-at-risk estimation (English)
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4 July 2022
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heavy right tails
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heuristic sample fraction selection
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Monte-Carlo simulation
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semi-parametric estimation
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statistics of extremes
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value-at-risk estimation
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