Monte Carlo-based tail exponent estimator
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- Jozef Barunik & Lukas Vacha, 2010. "Monte Carlo-Based Tail Exponent Estimator," Working Papers IES 2010/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2010.
- Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012.
"Understanding the source of multifractality in financial markets,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 391(17), pages 4234-4251.
- Jozef Barunik & Tomaso Aste & Tiziana Di Matteo & Ruipeng Liu, 2012. "Understanding the source of multifractality in financial markets," Papers 1201.1535, arXiv.org, revised Jan 2012.
More about this item
KeywordsHill estimator; α-stable distributions; Tail exponent estimation;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G0 - Financial Economics - - General
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