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Publication details

Document type
Journal articles

Document subtype
Full paper

Title
Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application

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

Scope
International

Refereeing
Yes

Date of Publication
2020-03-31

Institution
FACULDADE DE CIÊNCIAS DA UNIVERSIDADE DE LISBOA

Where published
Journal of Statistical Computation and Simulation

Publication Identifiers
ISSN - 0094-9655,1563-5163

Publisher
Informa UK Limited

Volume
90
Number
10

Number of pages
18
Starting page
1735
Last page
1752

Document Identifiers
DOI - https://doi.org/10.1080/00949655.2020.1746787
URL - http://dx.doi.org/10.1080/00949655.2020.1746787


Export

APA
M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lígia Henriques-Rodrigues, Dinis Pestana, (2020). Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application. Journal of Statistical Computation and Simulation, 90, 1735-1752. ISSN 0094-9655,1563-5163. eISSN . http://dx.doi.org/10.1080/00949655.2020.1746787

IEEE
M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lígia Henriques-Rodrigues, Dinis Pestana, "Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application" in Journal of Statistical Computation and Simulation, vol. 90, pp. 1735-1752, 2020. 10.1080/00949655.2020.1746787

BIBTEX
@article{44815, author = {M. Ivette Gomes and Frederico Caeiro and Fernanda Figueiredo and Lígia Henriques-Rodrigues and Dinis Pestana}, title = {Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application}, journal = {Journal of Statistical Computation and Simulation}, year = 2020, pages = {1735-1752}, volume = 90 }