Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
DOI10.1007/BF02760567zbMATH Open1055.62057MaRDI QIDQ1762973FDOQ1762973
Authors: Niklas Wagner, Terry A. Marsh 
Publication date: 11 February 2005
Published in: Statistical Papers (Search for Journal in Brave)
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cites Work
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Cited In (8)
- Smooth tail-index estimation
- On tail index estimation and financial risk management implications
- On robust tail index estimation
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Heavy tail index estimation based on block order statistics
- Change point tests for the tail index of \(\beta\)-mixing random variables
- The risk function of the goodness-of-fit tests for tail models
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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