Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models

DOI10.1007/BF02760567MaRDI QIDQ1762973zbMATH OpenFDO

Authors Niklas Wagner, Terry A. Marsh

Publication date 11 February 2005

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

Hill estimatorfat-tailsminimal AMSEtail index of stationary marginal distributions

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 431863 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Comparison of tail index estimators
• How to make a Hill plot.
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• On tail index estimation using dependent data
• Optimal rates of convergence for estimates of the extreme value index
• Selecting the optimal sample fraction in univariate extreme value estimation
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail index estimation for dependent data
• The method of moments ratio estimator for the tail shape parameter
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

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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