Estimating the parameters of rare events
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- Jose Olmo, 2015. "A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 1-21, August.
- Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
- Jondeau, Eric & Rockinger, Michael, 2003.
"Testing for differences in the tails of stock-market returns,"
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Elsevier, vol. 10(5), pages 559-581, December.
- Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
- Segers, J.J.J., 2003. "Approximate Distributions of Clusters of Extremes," Discussion Paper 2003-91, Tilburg University, Center for Economic Research.
- Segers, Johan, 2005. "Approximate distributions of clusters of extremes," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 330-336, October.
- Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- Jalal, Amine & Rockinger, Michael, 2008.
"Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data,"
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Elsevier, vol. 15(5), pages 868-877, December.
- Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
- Olmo, J., 2006. "A new family of estimators for the extremal index," Working Papers 06/01, Department of Economics, City University London.
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