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Hill, Bootstrap and Jackknife Estimators for Heavy Tails

Author

Listed:
  • Olivier V. Pictet
  • Michel M. Dacorogna
  • Ulrich A. Muller

Abstract

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Suggested Citation

  • Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Hill, Bootstrap and Jackknife Estimators for Heavy Tails," Working Papers 1996-12-10, Olsen and Associates.
  • Handle: RePEc:wop:olaswp:_015
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    File URL: http://www.olsen.ch/research/310_tailstatbook1.ps.zip
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    Cited by:

    1. Weshah Razzak, "undated". "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center.
    2. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    3. David Edelman & Thomas Gillespie, 2000. "The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets," Annals of Operations Research, Springer, vol. 100(1), pages 133-164, December.
    4. Ibrahim Onour, "undated". "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," API-Working Paper Series 0911, Arab Planning Institute - Kuwait, Information Center.
    5. Michel Dacorogna & Peter Blum, 2003. "Extreme Moves in Foreign Exchange Rates and Risk Limit Setting," Risk and Insurance 0306004, EconWPA.
    6. Tsourti, Zoi & Panaretos, John, 2003. "Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review," MPRA Paper 6390, University Library of Munich, Germany.
    7. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
    8. Clementi, F. & Di Matteo, T. & Gallegati, M., 2006. "The power-law tail exponent of income distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 49-53.
    9. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, pages 1-28.
    10. CĂ©line Azizieh & Wolfgang Breymann, 2005. "Estimation of the Stylized Facts of a Stochastic Cascade Model," Working Papers CEB 05-009.RS, ULB -- Universite Libre de Bruxelles.
    11. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
    12. Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi, 2010. "Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series," Papers 1003.2539, arXiv.org, revised Dec 2010.

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