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36 p, 220.8 KB Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches / Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria) ; Alemany Leira, Ramon (Universitat de Barcelona. Departament d'Econometria) ; Xarxa de Referència en Economia Aplicada (XREAP)
We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2015 (XREAP ; 2015-01)  
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