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Publication details

Document type
Journal articles

Document subtype
Full paper

Title
Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology

Participants in the publication
M. Ivette Gomes (Author)
Dep. Estatística e Investigação Operacional
CEAUL - Centro de Estatística e Aplicações
Sandra Mendonça (Author)
Dinis Pestana (Author)
Dep. Estatística e Investigação Operacional
CEAUL - Centro de Estatística e Aplicações
CFCUL - Centro de Filosofia das Ciências da Universidade de Lisboa

Scope
International

Refereeing
Yes

Date of Publication
2011-08-15

Institution
FACULDADE DE CIÊNCIAS DA UNIVERSIDADE DE LISBOA

Where published
Communications in Statistics - Theory and Methods

Publication Identifiers
ISSN - 0361-0926,1532-415X

Publisher
Informa UK Limited

Volume
40
Number
16

Number of pages
23
Starting page
2946
Last page
2968

Document Identifiers
DOI - https://doi.org/10.1080/03610926.2011.562782
URL - http://dx.doi.org/10.1080/03610926.2011.562782


Export

APA
M. Ivette Gomes, Sandra Mendonça, Dinis Pestana, (2011). Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology. Communications in Statistics - Theory and Methods, 40, 2946-2968. ISSN 0361-0926,1532-415X. eISSN . http://dx.doi.org/10.1080/03610926.2011.562782

IEEE
M. Ivette Gomes, Sandra Mendonça, Dinis Pestana, "Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology" in Communications in Statistics - Theory and Methods, vol. 40, pp. 2946-2968, 2011. 10.1080/03610926.2011.562782

BIBTEX
@article{44874, author = {M. Ivette Gomes and Sandra Mendonça and Dinis Pestana}, title = {Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology}, journal = {Communications in Statistics - Theory and Methods}, year = 2011, pages = {2946-2968}, volume = 40 }