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

Niklas Wagner and Terry Marsh

Statistical Papers, 2004, vol. 45, issue 4, 545-561

Keywords: fat-tails; tail index of stationary marginal distributions; Hill estimator; minimal AMSE (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/BF02760567

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