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Bias reduction in risk modelling: Semi-parametric quantile estimation

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  • M. Gomes
  • Fernanda Figueiredo

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  • M. Gomes & Fernanda Figueiredo, 2006. "Bias reduction in risk modelling: Semi-parametric quantile estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(2), pages 375-396, September.
    • Handle: RePEc:spr:testjl:v:15:y:2006:i:2:p:375-396
    DOI: 10.1007/BF02607058
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    References listed on IDEAS

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    1. Frederico Caeiro & M. Ivette Gomes, 2002. "A class of asymptotically unbiased semi-parametric estimators of the tail index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(2), pages 345-364, December.
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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    Citations

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    Cited by:

    1. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
    2. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
    3. Frederico Caeiro & M. Gomes, 2009. "Semi-parametric second-order reduced-bias high quantile estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(2), pages 392-413, August.
    4. Gomes, M. Ivette & Hall, Andreia & Miranda, M. Cristina, 2008. "Subsampling techniques and the Jackknife methodology in the estimation of the extremal index," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2022-2041, January.

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