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

Statistical Papers

Volumn 45, Issue 4, 2004, Pages 545-561

  Wagner, Niklas ^a   Marsh, Terry A ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Fat tails; Hill estimator; Minimal AMSE; Tail index of stationary marginal distributions

Indexed keywords

EID: 4644334756     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02760567     Document Type: Article

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