Bootstrap confidence intervals for tail indices
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- Marsaglia, George & Zaman, Arif & Wan Tsang, Wai, 1990. "Toward a universal random number generator," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 35-39, January.
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- Upper, Christian & Werner, Thomas, 2002.
"Time Variation in the Tail Behaviour of Bund Futures Returns,"
Discussion Paper Series 1: Economic Studies
2002,25, Deutsche Bundesbank.
- Upper, Christian & Werner, Thomas, 2002. "Time variation in the tail behaviour of bunds futures returns," Working Paper Series 0199, European Central Bank.
- EL-NOUTY Charles & GUILLOU Armelle, 2000. "On The Bootstrap Accuracy Of The Pareto Index," Statistics & Risk Modeling, De Gruyter, vol. 18(3), pages 275-290, March.
- Thomas Werner & Christian Upper, 2004.
"Time variation in the tail behavior of Bund future returns,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 24(4), pages 387-398, April.
- Upper, Christian & Werner, Thomas, 2002. "Time Variation in the Tail Behaviour of Bund Futures Returns," Discussion Paper Series 1: Economic Studies 2002,25, Deutsche Bundesbank.
- Caers, Jef & Dyck, Jozef Van, 1998. "Nonparametric tail estimation using a double bootstrap method," Computational Statistics & Data Analysis, Elsevier, vol. 29(2), pages 191-211, December.
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