A sturdy reduced-bias extreme quantile (VaR) estimator

Journal of the American Statistical Association

Volumn 102, Issue 477, 2007, Pages 280-292

  Gomes, M Ivette ^a   Pestana, Dinis ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

Heavy tails; High quantiles: Semiparametric estimation; Statistics of extremes; Value at risk

Indexed keywords

EID: 33947256203     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214506000000799     Document Type: Article

References (26)

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