Reduced-Bias Tail Index Estimators Under a Third-Order Framework
By Frederico Caeiro, M. Ivette Gomes, Lígia Henriques Rodrigues. 2009
70 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/2e6a9b753114868446ad18647ef2a4bc2f6dfbc8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Frederico Caeiro
- M. Ivette Gomes
- Yuri Goegebeur
- Armelle Guillou
- Antoine Schorgen
- Jan Beirlant
- Stéphane Girard
- Dinis D. Pestana
In Finance
- Frederico Caeiro
- M. Ivette Gomes
- Armelle Guillou
- Antoine Schorgen
- Yuri Goegebeur
- Stéphane Girard
- Laurent Gardes
- Jan Beirlant
In Statistics and Probability
- M. Ivette Gomes
- Frederico Caeiro
- Armelle Guillou
- Antoine Schorgen
- Yuri Goegebeur
- Laurent Gardes
- Stéphane Girard
- Evarist Gin'e
Citations in the corpus
- Nonparametric regression estimation of conditional tails: the random covariate case (2014, methodology): “Caeiro et al.[31] Clearly, all implementations of the bias-corrected estimator outperform the uncorrected estimator in terms of bias, even with a severe mis-specification at ρ(x) = −5.”
- Threshold Selection in Extreme Value Analysis (2016, background): “([11]), we then get the validity of the asymptotic distributional representation”