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

DOI10.1007/BF02760567zbMath1055.62057MaRDI QIDQ1762973

Niklas Wagner, Terry A. Marsh

Publication date: 11 February 2005

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

Hill estimatorfat-tailsminimal AMSEtail index of stationary marginal distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (5)

Heavy tail index estimation based on block order statistics ⋮ On robust tail index estimation ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ The risk function of the goodness-of-fit tests for tail models ⋮ Smooth tail-index estimation

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