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• Laurens de Haan

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Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9268-a.

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Length: 21 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:erroem:9268-a

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Keywords: statistics;

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1. Einmahl, J.H.J. & Lin, T., 2003. "Asymptotic normality of extreme value estimators on C[0,1]," Discussion Paper 132, Tilburg University, Center for Economic Research. [Downloadable!]
2. S. Cheng & L.F.M. de Haan, 1999. "Penultimate Approximation for Hill's Estimator," Tinbergen Institute Discussion Papers 99-062/4, Tinbergen Institute. [Downloadable!]
3. G. Draisma & L. de Haan & L. Peng, 2000. "A bootstrap-based method to achieve optimality on estimating the extreme-value index," Econometric Institute Report 198, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
4. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department. [Downloadable!]
   Other versions:
   • R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk Analysis of Stock Returns Historical Simulation,Variance Techniques or Tail Index Estimation?," DNB Staff Reports (discontinued) 40, Netherlands Central Bank. [Downloadable!]
5. Holger Drees & Laurens F.M. de Haan & Sidney Resnick, 1998. "How to make a Hill Plot," Tinbergen Institute Discussion Papers 98-090/4, Tinbergen Institute. [Downloadable!]
6. J.L. Geluk & L.F.M. de Haan, 2002. "On bootstrap sample size in extreme value theory," Econometric Institute Report 292, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
7. Laurens F.M. de Haan & Liang Peng & H. Iglesias Pereira, 1997. "Approximation by Penultimate Stable Laws," Tinbergen Institute Discussion Papers 97-100/4, Tinbergen Institute. [Downloadable!]
8. Laurens F.M. de Haan & Liang Peng & T.T. Pereira, 1997. "A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index," Tinbergen Institute Discussion Papers 97-099/4, Tinbergen Institute. [Downloadable!]
9. R.W.J. van den Goorbergh, 1999. "Value-at-Risk and least squares tail index estimation," WO Research Memoranda (discontinued) 578, Netherlands Central Bank, Research Department. [Downloadable!]
10. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute. [Downloadable!]

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