A tail estimator for the index of the stable paretian distribution∗

DOI10.1080/03610929808832156zbMath0908.62018OpenAlexW1972802756MaRDI QIDQ3842928

Marc S. Paolella, Svetlozar T. Rachev, Stefan Mittnik

Publication date: 9 November 1998

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929808832156

zbMATH Keywords

stable distributionsPickands estimatorHill estimatorPareto distributionstail estimator

Mathematics Subject Classification ID

Point estimation (62F10)

Related Items (5)

Stable mixture GARCH models ⋮ A simple estimator for the characteristic exponent of the stable Paretian distribution ⋮ Stationarity of stable power-GARCH processes. ⋮ Testing the stable Paretian assumption ⋮ Stable modeling of value at risk

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