Title:

A Sturdy Reduced Bias Extreme Quantile (VaR) Estimator: Correction

Authors:

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

Journal:

Journal of the American Statistical Association

Year:

2009

Volume:

104

Pages:

872-0

JEL codes:

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