Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison (2018)
- Authors:
- Autor USP: RODRIGUES, LIGIA CARLA PINTO HENRIQUES JORGE - IME
- Unidade: IME
- Subjects: ESTIMAÇÃO SEMIPARAMÉTRICA; MÉTODOS MCMC
- Keywords: heavy right-tails; Bias reduction; Monte-Carlo simulation; semiparametric estimation; statistics of extremes; value-at-risk estimation
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Publisher: Instituto Politécnico do Porto
- Publisher place: Felgueiras
- Date published: 2018
- Source:
- Título do periódico: Book of abstracts
- Conference titles: Workshop on Computational Data Analysis and Numerical Methods
-
ABNT
GOMES, M. Ivette et al. Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison. 2018, Anais.. Felgueiras: Instituto Politécnico do Porto, 2018. Disponível em: http://www.wcdanm-ipporto18.uevora.pt/wp-content/uploads/2018/05/Book_of_Abstracts.pdf. Acesso em: 23 abr. 2024. -
APA
Gomes, M. I., Caeiro, F., Figueiredo, F., Henriques-Rodrigues, L., & Pestana, D. (2018). Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison. In Book of abstracts. Felgueiras: Instituto Politécnico do Porto. Recuperado de http://www.wcdanm-ipporto18.uevora.pt/wp-content/uploads/2018/05/Book_of_Abstracts.pdf -
NLM
Gomes MI, Caeiro F, Figueiredo F, Henriques-Rodrigues L, Pestana D. Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison [Internet]. Book of abstracts. 2018 ;[citado 2024 abr. 23 ] Available from: http://www.wcdanm-ipporto18.uevora.pt/wp-content/uploads/2018/05/Book_of_Abstracts.pdf -
Vancouver
Gomes MI, Caeiro F, Figueiredo F, Henriques-Rodrigues L, Pestana D. Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison [Internet]. Book of abstracts. 2018 ;[citado 2024 abr. 23 ] Available from: http://www.wcdanm-ipporto18.uevora.pt/wp-content/uploads/2018/05/Book_of_Abstracts.pdf - Location-invariant reduced-bias tail index estimation under a third-order framework
- Bootstrap methods in statistics of extremes
- Swimming performance index based on extreme value theory
- Resampling-based methodologies in statistics of extremes: environmental and financial applications
- Adaptive estimation for light-tailed models
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Competitive estimation of the extreme value index
- Reduced‐bias kernel estimators of a positive extreme value index
- PORT estimation of parameters of extreme events through generalized means
- Generalized means and peaks over random thresholds value-at-risk estimation
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