Estimating The Density Tail Index For Financial Time Series
The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent applications of the estimator have been to financial data, and such data tend to exhibit long - range dependence. We show, via Monte Carlo simulations, that conventional measures of the precision of the estimator, which are based on the i.i.d. assumption, are greatly exaggerated when such dependent data are used. This conclusion also has implications for estimates of the likelihood of getting some extreme values, and we illustrate the changed conclusions one would get using equity return data. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
Volume (Year): 79 (1997)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|
When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:79:y:1997:i:2:p:171-175. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kristin Waites)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.