Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (Q1762973)
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scientific article; zbMATH DE number 2133712
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| English | Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models |
scientific article; zbMATH DE number 2133712 |
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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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0.8006002306938171
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0.7938665747642517
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0.7901559472084045
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0.7840314507484436
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0.7828503847122192
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