Generalized means and peaks over random thresholds value-at-risk estimation (2017)
- Authors:
- Autor USP: RODRIGUES, LIGIA CARLA PINTO HENRIQUES JORGE - IME
- Unidade: IME
- Assunto: ESTIMAÇÃO SEMIPARAMÉTRICA
- Keywords: generalized means; heavy-tailed parents; value-at-risk
- Language: Inglês
- Imprenta:
- Publisher: Instituto Politécnico de Portalegre
- Publisher place: Portalegre
- Date published: 2017
- Source:
- Título: Book of abstracts
- Conference titles: Satellite Meeting ISI-Committee on Risk Analysis
-
ABNT
GOMES, M. Ivette e FIGUEIREDO, Fernanda e HENRIQUES-RODRIGUES, Lígia. Generalized means and peaks over random thresholds value-at-risk estimation. 2017, Anais.. Portalegre: Instituto Politécnico de Portalegre, 2017. Disponível em: https://repositorio-aberto.up.pt/handle/10216/106428. Acesso em: 05 nov. 2024. -
APA
Gomes, M. I., Figueiredo, F., & Henriques-Rodrigues, L. (2017). Generalized means and peaks over random thresholds value-at-risk estimation. In Book of abstracts. Portalegre: Instituto Politécnico de Portalegre. Recuperado de https://repositorio-aberto.up.pt/handle/10216/106428 -
NLM
Gomes MI, Figueiredo F, Henriques-Rodrigues L. Generalized means and peaks over random thresholds value-at-risk estimation [Internet]. Book of abstracts. 2017 ;[citado 2024 nov. 05 ] Available from: https://repositorio-aberto.up.pt/handle/10216/106428 -
Vancouver
Gomes MI, Figueiredo F, Henriques-Rodrigues L. Generalized means and peaks over random thresholds value-at-risk estimation [Internet]. Book of abstracts. 2017 ;[citado 2024 nov. 05 ] Available from: https://repositorio-aberto.up.pt/handle/10216/106428 - Location-invariant reduced-bias tail index estimation under a third-order framework
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- Swimming performance index based on extreme value theory
- Competitive estimation of the extreme value index
- Mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison
- Reduced‐bias kernel estimators of a positive extreme value index
- Resampling-based methodologies in statistics of extremes: environmental and financial applications
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Adaptive estimation for light-tailed models
- PORT estimation of parameters of extreme events through generalized means
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