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Communications in Statistics - Theory and Methods Volume 40, 2011 - Issue 16: XIII International Conference on Applied Stochastic Models and Data
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Original Articles

Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology

M. Ivette Gomes DEIO, CEAUL, and FCUL, University of Lisbon, Lisbon, PortugalCorrespondence[email protected]
,
Sandra Mendonça CEAUL, Lisbon, Portugal and Department of Mathematics and Engineering, University of Madeira, Funchal, Portugal
&
Dinis Pestana DEIO, CEAUL, and FCUL, University of Lisbon, Lisbon, Portugal
Pages 2946-2968 | Received 01 Oct 2009, Accepted 01 May 2010, Published online: 05 Jul 2011

Citations (12)

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Read on this site (2)

M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lgia Henriques-Rodrigues & Dinis Pestana. (2020) Corrected-Hill versus partially reduced-bias value-at-risk estimation. Communications in Statistics - Simulation and Computation 49:4, pages 867-885.
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Lígia Henriques-Rodrigues & M. Ivette Gomes. (2018) Location-invariant reduced-bias tail index estimation under a third-order framework. Journal of Statistical Theory and Practice 12:2, pages 206-230.
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Articles from other publishers (10)

Frederico Caeiro & M. Ivette Gomes. 2022. Recent Developments in Statistics and Data Science. Recent Developments in Statistics and Data Science 29 39 .
Frederico Caeiro & Lígia Henriques‐Rodrigues. (2019) Reduced‐bias kernel estimators of a positive extreme value index. Mathematical Methods in the Applied Sciences 42:17, pages 5867-5880.
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D. Prata Gomes & M. M. Neves. 2018. Recent Studies on Risk Analysis and Statistical Modeling. Recent Studies on Risk Analysis and Statistical Modeling 141 153 .
M. Ivette Gomes, Frederico Caeiro, Lígia Henriques-Rodrigues & B.G. Manjunath. 2016. Extreme Events in Finance. Extreme Events in Finance 117 138 .
Saralees Nadarajah & Stephen Chan. 2016. Extreme Events in Finance. Extreme Events in Finance 283 356 .
M. Ivette Gomes, Lígia Henriques-Rodrigues & Fernanda Figueiredo. 2015. Mathematics of Energy and Climate Change. Mathematics of Energy and Climate Change 163 181 .
Frederico Caeiro, M. Ivette Gomes & Björn Vandewalle. (2012) Semi-Parametric Probability-Weighted Moments Estimation Revisited. Methodology and Computing in Applied Probability 16:1, pages 1-29.
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M. Ivette Gomes. 2014. New Advances in Statistical Modeling and Applications. New Advances in Statistical Modeling and Applications 29 40 .
M. Fátima Brilhante, M. Ivette Gomes & Dinis Pestana. (2013) A simple generalisation of the Hill estimator. Computational Statistics & Data Analysis 57:1, pages 518-535.
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M. Ivette Gomes, Fernanda Figueiredo & M. Manuela Neves. (2011) Adaptive estimation of heavy right tails: resampling-based methods in action. Extremes 15:4, pages 463-489.
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