DIRECT REDUCTION OF BIAS OF THE CLASSI- CAL HILL ESTIMATOR ⁄

By Frederico Caeiro, M. Ivette Gomes, Dinis D. Pestana. 2005

166 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6c5439d2fe110991182be330b6a3f101f68d49f6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator (2007, methodology): “Note that, similarly to what has happened before with the tail index estimation (Caeiro et al. 2005, Gomes et al. 2004b), and for most of the models in the Hall–Welsh class, the computation of both second-order parameters estimators at the high k1 value in (2.2) enables us to work with high…”
Estimation of tail risk based on extreme expectiles (2016, unknown): “Indeed, the bias components λ 1 and λ 2 appearing in Theorem 1 can be estimated, respectively, by using λ 1 “ a n p 1 ´ τ n q p q ´ 1 τ n and by applying the methodology of Caeiro et al. (2005) in conjunction with the Hall-Welsh class of models to get an estimator λ 2 of λ 2 .”
Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012, background): “(2002) or Caeiro et al. (2005). 9 That is, at lag τ the mean of the three autocorrelation coefficients for τ−1, τ , τ+1 is computed, except for τ = 1, where it is the average of the first and second coefficient.”
Bias correction in extreme value statistics with index around zero (2013, methodology): “(ii) The second generation of bias correction methods considers subtracting the bias term in the asymptotic distribution directly; see Caeiro et al. (2005), Gomes and Pestana (2007b); Gomes et al. (2008) and Caeiro and Gomes (2008).”
Threshold Selection in Extreme Value Analysis (2016, background): “2) holds, and in the lines of Caeiro, Gomes and Pestana ([12]), if”