Bias reduction in risk modelling: Semi-parametric quantile estimation

M. Gomes () and Fernanda Figueiredo

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2006, vol. 15, issue 2, 375-396

Keywords: Heavy tails; high quantiles; semi-parametric estimation; bias reduction; statistics of extremes; Primary 62G32; 62E20; Secondary 65C05 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/BF02607058

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