Testing the tail index in autoregressive models

Jana Jurečková (), Hira Koul () and Jan Picek ()

Annals of the Institute of Statistical Mathematics, 2009, vol. 61, issue 3, 579-598

Keywords: Empirical process; Heavy tailed distribution; Feigin-Resnick estimator; Pareto tail index (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10463-007-0155-z

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