Subsampling the distribution of diverging statistics with applications to finance (Q2439061): Difference between revisions

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-Christian Haefke
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+Christian Haefke
@@ Property / author: Christian Haefke / rank @@
+Normal rank
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+MaRDI publication profile
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+Normal rank
@@ Property / cites work @@
+Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
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+Excess functions and estimation of the extreme-value index
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+On Subsampling Estimators with Unknown Rate of Convergence
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+Q4726487
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+The Pricing of Options and Corporate Liabilities
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+Q3827448
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+Asymptotic normality of least-squares estimators of tail indices
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+The method of moments ratio estimator for the tail shape parameter
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+Using a bootstrap method to choose the sample fraction in tail index estimation
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+A moment estimator for the index of an extreme-value distribution
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+A bootstrap-based method to achieve optimality in estimating the extreme-value index
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+Selecting the optimal sample fraction in univariate extreme value estimation
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+SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
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+Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
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+On blocking rules for the bootstrap with dependent data
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+A simple general approach to inference about the tail of a distribution
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+The limiting distribution of extremal exchange rate returns
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+Extremes and related properties of random sequences and processes
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+Large sample confidence regions based on subsamples under minimal assumptions
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+Subsampling
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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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+Consistency of Hill's estimator for dependent data
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+Safety First and the Holding of Assets
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