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A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

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  • Gomes, M. Ivette
  • Pestana, Dinis

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  • Gomes, M. Ivette & Pestana, Dinis, 2007. "A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 280-292, March.
    • Handle: RePEc:bes:jnlasa:v:102:y:2007:p:280-292
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    1. Fátima Brilhante, M. & Ivette Gomes, M. & Pestana, Dinis, 2013. "A simple generalisation of the Hill estimator," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 518-535.
    2. Wang, Yulong & Xiao, Zhijie, 2022. "Estimation and inference about tail features with tail censored data," Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
    3. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
    4. Ivanilda Cabral & Frederico Caeiro & M. Ivette Gomes, 2022. "On the comparison of several classical estimators of the extreme value index," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(1), pages 179-196, January.
    5. 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.
    6. Gomes, M. Ivette & Pestana, Dinis & Caeiro, Frederico, 2009. "A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 295-303, February.
    7. Wager, Stefan, 2014. "Subsampling extremes: From block maxima to smooth tail estimation," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 335-353.
    8. Gomes, M. Ivette & Brilhante, M. Fátima & Caeiro, Frederico & Pestana, Dinis, 2015. "A new partially reduced-bias mean-of-order p class of extreme value index estimators," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 223-237.
    9. Huixia Judy Wang & Deyuan Li, 2013. "Estimation of Extreme Conditional Quantiles Through Power Transformation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1062-1074, September.
    10. 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.
    11. Rassoul, Abdelaziz, 2013. "Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 698-703.
    12. 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.
    13. Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat, 2013. "High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 487-496.
    14. Goegebeur, Yuri & Guillou, Armelle & Verster, Andréhette, 2014. "Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 108-114.
    15. Frederico Caeiro & M. Ivette Gomes & Björn Vandewalle, 2014. "Semi-Parametric Probability-Weighted Moments Estimation Revisited," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 1-29, March.
    16. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    17. Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018. "Challenges in Implementing Worst-Case Analysis," Staff Working Papers 18-47, Bank of Canada.
    18. Lígia Henriques-Rodrigues & Frederico Caeiro & M. Ivette Gomes, 2024. "A New Class of Reduced-Bias Generalized Hill Estimators," Mathematics, MDPI, vol. 12(18), pages 1-18, September.

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