Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
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Publication:1762973
DOI10.1007/BF02760567zbMath1055.62057MaRDI QIDQ1762973
Publication date: 11 February 2005
Published in: Statistical Papers (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Related Items (7)
Heavy tail index estimation based on block order statistics ⋮ On robust tail index estimation ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ Exponential-Type GARCH Models With Linear-in-Variance Risk Premium ⋮ Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models ⋮ The risk function of the goodness-of-fit tests for tail models ⋮ Smooth tail-index estimation
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