A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

DOI10.1080/00949655.2010.547196zbMath1318.62158MaRDI QIDQ4912037

M. Ivette Gomes, Lígia Henriques-Rodrigues, Fernanda Figueiredo, M. Cristina Miranda

Publication date: 21 March 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.547196

zbMATH Keywords

heuristics; semiparametric estimation; value-at-risk; statistics of extremes

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

Uses Software

• QRM