A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

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Mixed moment estimator and location invariant alternatives (2009, methodology): “For the most convenient estimation of (β ∗, ρ ∗) (usually denoted (β, ρ)) see the algorithms in Gomes and Pestana (2007) and in Gomes et al.”
Frontiers in VaR forecasting and backtesting (2016, background): “Gomes and Pestana (2007), Gomes et al. (2007), Gomes et al. (2008) and Gomes et al. (2012) propose alternative estimators of ξ with minimum variance and reduced bias.”
Reduced-Bias Tail Index Estimators Under a Third-Order Framework (2009, unknown): “( 2005 ), Gomes and Pestana ( 2007a , b ), and Gomes et al.”
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, methodology): “We mention the pioneering papers by Hall ([37]) and Hall and Welsh ([39]), and discuss the role of the bootstrap methodology in the selection of k0(n) := arg mink MSE(ξ̂k,n) (Hall, [38]; Draisma, de Haan, Peng and Themido Pereira [19]; Danielsson, de Haan, Peng and de Vries, [17]; Gomes and Oliveira”