An automatic procedure for the estimation of the tail index
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References listed on IDEAS
- Jansen, Dennis W & de Vries, Casper G, 1991.
"On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective,"
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More about this item
KeywordsTail Index; Hill estimator; Normality Test;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G19 - Financial Economics - - General Financial Markets - - - Other
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-ECM-2012-03-08 (Econometrics)
- NEP-ETS-2012-03-08 (Econometric Time Series)
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