Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application | Frederico Caeiro

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application

Citation:: Gomes, M. I., Caeiro F., Figueiredo F., Henriques-Rodrigues L., & Pestana D. (2020). Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application. Journal of Statistical Computation and Simulation. 90, 1735-1752., Number 10

Abstract:

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