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Publication details

Document type
Journal articles

Document subtype
Full paper

Title
A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

Participants in the publication
Fernanda Figueiredo (Author)
M. Ivette Gomes (Author)
Dep. Estatística e Investigação Operacional
CEAUL - Centro de Estatística e Aplicações
Lígia Henriques-Rodrigues (Author)
M. Cristina Miranda (Author)

Scope
International

Refereeing
Yes

Date of Publication
2012

Where published
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Publication Identifiers
ISSN - 0094-9655

Publisher
Informa UK Limited

Volume
82
Number
4

Starting page
587
Last page
602

Document Identifiers
DOI - https://doi.org/10.1080/00949655.2010.547196


Export

APA
Fernanda Figueiredo, M. Ivette Gomes, Lígia Henriques-Rodrigues, M. Cristina Miranda, (2012). A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 82, 587-602. ISSN 0094-9655. eISSN .

IEEE
Fernanda Figueiredo, M. Ivette Gomes, Lígia Henriques-Rodrigues, M. Cristina Miranda, "A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation" in JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol. 82, pp. 587-602, 2012. 10.1080/00949655.2010.547196

BIBTEX
@article{11436, author = {Fernanda Figueiredo and M. Ivette Gomes and Lígia Henriques-Rodrigues and M. Cristina Miranda}, title = {A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation}, journal = {JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION}, year = 2012, pages = {587-602}, volume = 82 }