Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology*

By M. Ivette Gomes, M. João Martins, M. Neves. 2000

94 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9fe0d6f92cb8687317a67da8e0300bd3147f2dd5

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

1. Jan Beirlant
2. Frederico Caeiro
3. M. Ivette Gomes
4. Lígia Henriques Rodrigues
5. Laurens de Haan
6. Dinis D. Pestana
7. Johan Segers
8. E. Joossens

In Finance

1. Jan Beirlant
2. M. Ivette Gomes
3. Frederico Caeiro
4. Johan Segers
5. Dinis D. Pestana
6. Lígia Henriques Rodrigues
7. Laurens de Haan
8. E. Joossens

Citations in the corpus

• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions (2009, methodology): “Bias-reduction methods have already been proposed in, amongst others, Feuerverger and Hall (1999), Gomes et al. (2000) , Beirlant et al. (1999), Beirlant et al. (2002a), Gomes and Martins (2002), and Gomes and Martins (2004).”
• Tail index estimation for heavy‐tailed models: accommodation of bias in weighted log‐excesses (2007, methodology): “…been used in Martins et al. (1999), where convex mixtures of two Hill estimators, computed at two different levels, were considered, and later in Gomes et al. (2000), who suggested, just as had already been done in Feuerverger and Hall (1999), the possible misspecification of the second-order…”
• DIRECT REDUCTION OF BIAS OF THE CLASSI- CAL HILL ESTIMATOR ⁄ (2005, methodology): “…theoretical and simulated results in Fraga Alves et al. (2003), together with the use of these estimators in the Generalized Jackknife statistics of Gomes et al. (2000), as done in Gomes and Martins (2002), as well as their use in the estimator in (1.13) (Gomes et al., 2004b) and in the estimator…”
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator (2007, background): “…new estimators, γ̂R(k) say, the so-called second-order reduced-bias estimators discussed by Peng (1998), Beirlant, Dierckx, Goegebeur, and Matthys (1999), Feuerverger and Hall (1999), Gomes, Martins, and Neves (2000), Caeiro and Gomes (2002), Gomes, Figueiredo, and Mendonça (2004c), among others.”
• A simple second-order reduced bias’ tail index estimator (2007, methodology): “14 , as done by Gomes and Martins 7 and Gomes et al .”