{"id":"https://openalex.org/W2912616883","doi":"https://doi.org/10.1080/03610918.2018.1489053","title":"Corrected-Hill versus partially reduced-bias value-at-risk estimation","display_name":"Corrected-Hill versus partially reduced-bias value-at-risk estimation","publication_year":2019,"publication_date":"2019-01-22","ids":{"openalex":"https://openalex.org/W2912616883","doi":"https://doi.org/10.1080/03610918.2018.1489053","mag":"2912616883"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2018.1489053","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2018.1489053","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://dx.doi.org/10.1080/03610918.2018.1489053","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5021893212","display_name":"M. Ivette Gomes","orcid":"https://orcid.org/0000-0002-2903-6993"},"institutions":[{"id":"https://openalex.org/I141596103","display_name":"University of Lisbon","ror":"https://ror.org/01c27hj86","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103"]},{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["PT"],"is_corresponding":true,"raw_author_name":"M. Ivette Gomes","raw_affiliation_strings":["CEAUL, FCUL, Universidade de Lisboa","CEAUL, FCUL, Universidade de Lisboa;"],"affiliations":[{"raw_affiliation_string":"CEAUL, FCUL, Universidade de Lisboa","institution_ids":["https://openalex.org/I83558840"]},{"raw_affiliation_string":"CEAUL, FCUL, Universidade de Lisboa;","institution_ids":["https://openalex.org/I141596103"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026109121","display_name":"Frederico Caeiro","orcid":"https://orcid.org/0000-0001-8628-7281"},"institutions":[{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Frederico Caeiro","raw_affiliation_strings":["CMA, FCT, Universidade Nova de Lisboa","CMA, FCT, Universidade Nova de Lisboa;"],"affiliations":[{"raw_affiliation_string":"CMA, FCT, Universidade Nova de Lisboa","institution_ids":["https://openalex.org/I83558840"]},{"raw_affiliation_string":"CMA, FCT, Universidade Nova de Lisboa;","institution_ids":["https://openalex.org/I83558840"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5087694925","display_name":"Fernanda Figueiredo","orcid":"https://orcid.org/0000-0003-0255-4106"},"institutions":[{"id":"https://openalex.org/I182534213","display_name":"Universidade do Porto","ror":"https://ror.org/043pwc612","country_code":"PT","type":"education","lineage":["https://openalex.org/I182534213"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Fernanda Figueiredo","raw_affiliation_strings":["Faculdade de Economia, Universidade do Porto and CEAUL","Faculdade de Economia, Universidade do Porto and CEAUL;"],"affiliations":[{"raw_affiliation_string":"Faculdade de Economia, Universidade do Porto and CEAUL","institution_ids":["https://openalex.org/I182534213"]},{"raw_affiliation_string":"Faculdade de Economia, Universidade do Porto and CEAUL;","institution_ids":["https://openalex.org/I182534213"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5103835216","display_name":"Lgia Henriques-Rodrigues","orcid":null},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Lgia Henriques-Rodrigues","raw_affiliation_strings":["Universidade de S\u00e3o Paulo, IME, Brasil, and CEAUL"],"affiliations":[{"raw_affiliation_string":"Universidade de S\u00e3o Paulo, IME, Brasil, and CEAUL","institution_ids":["https://openalex.org/I17974374"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5077344975","display_name":"D\u00ednis Pestana","orcid":"https://orcid.org/0000-0001-8999-1354"},"institutions":[{"id":"https://openalex.org/I141596103","display_name":"University of Lisbon","ror":"https://ror.org/01c27hj86","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103"]},{"id":"https://openalex.org/I83558840","display_name":"Universidade Nova de Lisboa","ror":"https://ror.org/02xankh89","country_code":"PT","type":"education","lineage":["https://openalex.org/I83558840"]}],"countries":["PT"],"is_corresponding":false,"raw_author_name":"Dinis Pestana","raw_affiliation_strings":["CEAUL, FCUL, Universidade de Lisboa","CEAUL, FCUL, Universidade de Lisboa;"],"affiliations":[{"raw_affiliation_string":"CEAUL, FCUL, Universidade de Lisboa","institution_ids":["https://openalex.org/I83558840"]},{"raw_affiliation_string":"CEAUL, FCUL, Universidade de Lisboa;","institution_ids":["https://openalex.org/I141596103"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5021893212"],"corresponding_institution_ids":["https://openalex.org/I141596103","https://openalex.org/I83558840"],"apc_list":null,"apc_paid":null,"fwci":0.8585,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.75421855,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"49","issue":"4","first_page":"867","last_page":"885"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10968","display_name":"Statistical Distribution Estimation and Applications","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9912999868392944,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.8142222166061401},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.6836891174316406},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6567376255989075},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6242731809616089},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5866754651069641},{"id":"https://openalex.org/keywords/parametric-statistics","display_name":"Parametric statistics","score":0.5251902341842651},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4566461443901062},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4141348600387573},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1848318874835968},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.10036727786064148},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08392921090126038}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8142222166061401},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6836891174316406},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6567376255989075},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6242731809616089},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5866754651069641},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.5251902341842651},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4566461443901062},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4141348600387573},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1848318874835968},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.10036727786064148},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08392921090126038}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/03610918.2018.1489053","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2018.1489053","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:002977143","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1080/03610918.2018.1489053","pdf_url":null,"source":{"id":"https://openalex.org/S4306402641","display_name":"LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Cient\u00edficas)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4383465926","host_organization_name":"LA Referencia","host_organization_lineage":["https://openalex.org/I4383465926"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"reponame:Reposit\u00f3rio Institucional da USP (Biblioteca Digital da Produ\u00e7\u00e3o Intelectual)","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":{"id":"pmh:002977143","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1080/03610918.2018.1489053","pdf_url":null,"source":{"id":"https://openalex.org/S4306402641","display_name":"LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Cient\u00edficas)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4383465926","host_organization_name":"LA Referencia","host_organization_lineage":["https://openalex.org/I4383465926"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"reponame:Reposit\u00f3rio Institucional da USP (Biblioteca Digital da Produ\u00e7\u00e3o Intelectual)","raw_type":"info:eu-repo/semantics/publishedVersion"},"sustainable_development_goals":[{"display_name":"Reduced inequalities","id":"https://metadata.un.org/sdg/10","score":0.46000000834465027}],"awards":[{"id":"https://openalex.org/G1525753125","display_name":null,"funder_award_id":"Action IC1408---CroNos","funder_id":"https://openalex.org/F4320320366","funder_display_name":"European Cooperation in Science and Technology"}],"funders":[{"id":"https://openalex.org/F4320320366","display_name":"European Cooperation in Science and Technology","ror":"https://ror.org/01bstzn19"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W134514108","https://openalex.org/W185059740","https://openalex.org/W411746464","https://openalex.org/W627954411","https://openalex.org/W1226328117","https://openalex.org/W1501278672","https://openalex.org/W1945672253","https://openalex.org/W1963608920","https://openalex.org/W1971153697","https://openalex.org/W1979575715","https://openalex.org/W1997644467","https://openalex.org/W2010302823","https://openalex.org/W2015195695","https://openalex.org/W2021823919","https://openalex.org/W2024760831","https://openalex.org/W2028168237","https://openalex.org/W2042492188","https://openalex.org/W2048649579","https://openalex.org/W2068288007","https://openalex.org/W2085641133","https://openalex.org/W2099040323","https://openalex.org/W2099471538","https://openalex.org/W2108389647","https://openalex.org/W2116140990","https://openalex.org/W2117847142","https://openalex.org/W2120378200","https://openalex.org/W2135177937","https://openalex.org/W2150383603","https://openalex.org/W2153226289","https://openalex.org/W2155489827","https://openalex.org/W2156612702","https://openalex.org/W2161072196","https://openalex.org/W2196865181","https://openalex.org/W2262574861","https://openalex.org/W2324099123","https://openalex.org/W2461286013","https://openalex.org/W2501567959","https://openalex.org/W2530167028","https://openalex.org/W2582427282","https://openalex.org/W2963795990","https://openalex.org/W4206769493","https://openalex.org/W4214712351","https://openalex.org/W4238306122","https://openalex.org/W4244491583"],"related_works":["https://openalex.org/W4287880334","https://openalex.org/W4366700029","https://openalex.org/W4285230481","https://openalex.org/W4385769873","https://openalex.org/W4396824790","https://openalex.org/W4281634296","https://openalex.org/W4319161863","https://openalex.org/W2371687270","https://openalex.org/W4311888330","https://openalex.org/W2517641583"],"abstract_inverted_index":{"The":[0],"value-at-risk":[1],"(VaR)":[2],"at":[3],"a":[4,18,32,70],"small":[5],"level":[6],"q,":[7],"0<q<1,":[8],"is":[9,81],"the":[10,13,29,50,63],"size":[11],"of":[12,31,34,37,52],"loss":[14],"that":[15],"occurs":[16],"with":[17,41,62],"probability":[19],"q.":[20],"Semi-parametric":[21],"partially":[22],"reduced-bias":[23],"(PRB)":[24],"VaR-estimation":[25],"procedures":[26],"based":[27],"on":[28],"mean-of-order-p":[30],"set":[33],"k":[35],"quotients":[36],"upper":[38],"order":[39],"statistics,":[40],"p":[42],"any":[43],"real":[44],"number,":[45],"are":[46,59],"put":[47],"forward.":[48],"After":[49],"study":[51],"their":[53],"asymptotic":[54],"behavior,":[55],"these":[56],"PRB":[57],"VaR-estimators":[58],"altogether":[60],"compared":[61],"classical":[64],"ones":[65],"for":[66],"finite":[67],"samples,":[68],"through":[69],"large-scale":[71],"Monte-Carlo":[72],"simulation":[73],"study.":[74],"A":[75],"brief":[76],"application":[77],"to":[78],"financial":[79],"log-returns":[80],"provided,":[82],"as":[83,85],"well":[84],"some":[86],"final":[87],"remarks.":[88]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}