A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
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Publication:5307705
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Cited in
(63)- Inference for extremal regression with dependent heavy-tailed data
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Extreme quantile estimation based on financial time series
- Improved inference on risk measures for univariate extremes
- Realised quantile-based estimation of the integrated variance
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- The latest advances on the Hill estimator and its modifications
- On tail index estimation and financial risk management implications
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- The MOP EVI-estimator revisited
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- Threshold selection and trimming in extremes
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Uniform in bandwidth consistency of kernel estimators of the tail index
- Bias correction in extreme value statistics with index around zero
- Improved reduced-bias tail index and quantile estimators
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- EVT-based estimation of risk capital and convergence of high quantiles
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Semi-parametric second-order reduced-bias high quantile estimation
- Bias reduction for high quantiles
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- A refined Weissman estimator for extreme quantiles
- Wavelet variances for heavy-tailed time series
- Semi-parametric tail inference through probability-weighted moments
- An interview with Ivette Gomes
- A simple generalisation of the Hill estimator
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Location invariant Weiss-Hill estimator
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Estimation of extreme quantiles from heavy-tailed distributions with neural networks
- Estimation of the conditional tail moment for Weibull-type distributions
- Estimation and inference about tail features with tail censored data
- On automatic bias reduction for extreme expectile estimation
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
- Scaling of high-quantile estimators
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Regional extreme value index estimation and a test of tail homogeneity
- A practical method for analysing heavy tailed data
- Value-at-risk estimation and the PORT mean-of-order-\(p\) methodology
- Subsampling extremes: from block maxima to smooth tail estimation
- On uniform confidence intervals for the tail index and the extreme quantile
- Deterministic computation of quantiles in a Lipschitz framework
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index
- Adaptive PORT-MVRB estimation of the extreme value index
- Mixed moment estimator and location invariant alternatives
- Semi-parametric probability-weighted moments estimation revisited
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- On the comparison of several classical estimators of the extreme value index
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