Title:

A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

Authors:

Ivette Gomes (U Lisboa)
Dinis Pestana (U Lisboa)

Journal:

Journal of the American Statistical Association

Year:

2007

Volume:

102

Pages:

280-292

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G15 - International Financial Markets
C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models