On tail index estimation and financial risk management implications

zbMATH Open1162.90484MaRDI QIDQ5301756FDOQ5301756

Authors: Niklas Wagner 

Publication date: 20 January 2009

Recommendations

• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
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Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Cited In (5)

• On the super-additivity and estimation biases of quantile contributions
• VaR is subject to a significant positive bias
• Title not available (Why is that?)
• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• On tail trend detection: modeling relative risk

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