A two-step estimator of the extreme value index
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Publication:1003330
DOI10.1007/s10687-008-0058-2zbMath1164.62019MaRDI QIDQ1003330
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0058-2
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On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures, Empirical likelihood based inference for conditional Pareto-type tail index
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