Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (Q1762973)
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| Language | Label | Description | Also known as |
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| English | Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models |
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Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (English)
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11 February 2005
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fat-tails
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tail index of stationary marginal distributions
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Hill estimator
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minimal AMSE
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