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Hill, Bootstrap and Jackknife Estimators for Heavy Tails

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  • Olivier V. Pictet
  • Michel M. Dacorogna
  • Ulrich A. Muller

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Bibliographic Info

Paper provided by Olsen and Associates in its series Working Papers with number 1996-12-10.

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Date of creation: 1996
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Handle: RePEc:wop:olaswp:_015

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Cited by:
  1. Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Departmental Working Papers 0103, Bilkent University, Department of Economics.
  2. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Weshah Razzak, 2009. "On the GCC Currency Union," EERI Research Paper Series EERI_RP_2009_29, Economics and Econometrics Research Institute (EERI), Brussels.
  4. Michel Dacorogna & Peter Blum, 2003. "Extreme Moves in Foreign Exchange Rates and Risk Limit Setting," Risk and Insurance 0306004, EconWPA.
  5. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
  6. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  7. F. Clementi & T. Di Matteo & M. Gallegati, 2006. "The Power-law Tail Exponent of Income Distributions," Papers physics/0603061, arXiv.org.
  8. Céline Azizieh & Wolfgang Breymann, 2005. "Estimation of the Stylized Facts of a Stochastic Cascade Model," Working Papers CEB 05-009.RS, ULB -- Universite Libre de Bruxelles.
  9. Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Papers 1003.2539, arXiv.org, revised Dec 2010.
  10. Ibrahim Onour, . "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," API-Working Paper Series 0911, Arab Planning Institute - Kuwait, Information Center.
  11. Tsourti, Zoi & Panaretos, John, 2003. "Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review," MPRA Paper 6390, University Library of Munich, Germany.
  12. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.

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