Subsampling the distribution of diverging statistics with applications to finance
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- repec:ner:tilbur:urn:nbn:nl:ui:12-125712 is not listed on IDEAS
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"Using a bootstrap method to choose the sample fraction in tail index estimation,"
Econometric Institute Research Papers
EI 2000-19/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
- Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
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