Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
On the basis of a sample of either independent, identically distributed or possibly weakly dependent and stationary random variables from an unknown model F with a heavy right-tail function, and for any small level q, the value-at-risk (VaR) at the level q, i.e. the size of the loss that occurs with...
| Autor principal: | |
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| Outros Autores: | , , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10174/32928 http://hdl.handle.net/10174/32928 |
| País: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/32928 |