Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

J. Beirlant, Elisabeth Joossens and J. Segers
Additional contact information
J. Segers: Tilburg University, Center For Economic Research

No 2005-112, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: bias; exchange rate; heavy tails; peaks-over-threshold; regular variation; tail index (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... 784e4d99886/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:cfb08408-0775-4936-8f1f-b39ef7146cb4

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().