The method of moments ratio estimator for the tail shape parameter

Communications in Statistics - Theory and Methods

Volumn 25, Issue 4, 1996, Pages 711-720

  Danielsson, Jon ^a   Jansen, Dennis W ^b   De Vries, Casper G ^c  

^a UNIVERSITY OF ICELAND   (Iceland)

^b TEXAS A AND M UNIVERSITY   (United States)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Bias; Hill estimator; Method of moments

Indexed keywords

EID: 0009596296     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929608831727     Document Type: Article

References (9)

1. Danielsson, J., D. Jansen and C. G. de Vries (1994). "The moments ratio approach to quantile and tail estimation," mimeo, Tinbergen Institute Rotterdam.
2. Goldie, Charles M. and Richard L. Smith (1987). "Slow variation with remainder: theory and applications," Quarterly Journal of Mathematics, 38, 45-71.
3. Hall, Peter, and A. H. Welsh, (1984). "Best attainable rates of convergence for estimates of parameters of regular variations," Ann. of Statis., 12, 1079-1084.
4. Hall, Peter (1982). "On some simple estimates of an exponent of regular variation," J. Roy. Statis. Soc. B, 44, 37-42.
5. Haan, de, L. and L. Peng (1994). "Comparison of tail index estimators," mimeo, Economic Institute, Erasmus University, Rotterdam.
6. Hill, Bruce M.(1975). "A simple general approach to inference about the tail of a distribution," Ann. of Statis., 3, 1163-1173.
7. Jansen, Dennis W. and Casper G. de Vries (1991). "On the frequency of large stock returns: Putting booms and busts into perspective," The Review of Economics and Statistics, 73, 18-24.
8. Loretan, Mico, and Peter C.B. Phillips (1994). "Testing the covariance stationarity of heavy-tailed time series," Journal of Empirical Finance, 1, 211-248.
9. Schwert, G. William (1989). "Business cycles, financial crises and stock volatility," Carnegie- Rochester Conference Series on Public Policy, 31, 83-126.