Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
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Publication:5036848
DOI10.1080/00949655.2020.1746787OpenAlexW3014682565MaRDI QIDQ5036848
M. Ivette Gomes, Fernanda Figueiredo, Frederico Caeiro, Dinis Pestana, Lígia Henriques-Rodrigues
Publication date: 23 February 2022
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2020.1746787
bias reductionstatistics of extremesMonte-Carlo simulationheuristic methodssemi-parametric estimationvalue-at-risk estimationheavy right-tails
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