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Corrected-Hill versus partially reduced-bias value-at-risk estimation

M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lígia Henriques-Rodrigues, Dinis Pestana. Corrected-Hill versus partially reduced-bias value-at-risk estimation. Communications in Statistics - Simulation and Computation, 49(4):867-885, 2020. [doi]

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