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A New Estimator for a Tail Index
10 references·0 citing·33 second hop
A New Estimator for a Tail Index (2003)A New Estimator for a Tail IndexUsing a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…How to make a Hill plot (2000)How to make a Hill plotA Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index (1999)A Bootstrap-based Method to A…Selecting the optimal sample fraction in univariate extreme value estimation (1998)Selecting the optimal sample …Comparison of tail index estimators (1998)Comparison of tail index esti…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Optimal Choice of Sample Fraction in Extreme-Value Estimation (1993)Optimal Choice of Sample Frac…Optimal choice of sample fraction in extreme-value estimation (1991)Optimal choice of sample frac…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Kernel Estimates of the Tail Index of a Distribution (1985)Kernel Estimates of the Tail …On Some Simple Estimates of an Exponent of Regular Variation (1982)Extreme Correlation of International Equity Markets (2001)“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Continuous Martingales and Brownian Motion (1991)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Parameter estimation for power-law distributions by maximum likelihood methods (2007)Econophysics review: I. Empirical facts (2011)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Statistical Analysis of Extreme Values (2007)Power-law distributions in binned empirical data (2014)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Back to the basics in banking? A micro-analysis of banking system stability (2009)Estimating Tails of Probability Distributions (1987)Asymptotically unbiased estimators for the extreme-value index (1998)Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology* (2000)The variation of certain speculative prices (1997)Tail Index Estimation and an Exponential Regression Model (1999)Statistics for near independence in multivariate extreme values (1996)Dependence Measures for Extreme Value Analyses (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Smoothing the Hill Estimator (1997)The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction (2001)On the tails of extreme event distributions in hydrology (2008)Asymptotic behavior of hill's estimator for autoregressive data (1997)Generalizations of the Hill estimator – asymptotic versus finite sample behaviour (2001)An Econometric Analysis of Emission Trading Allowances (2006)On maximum likelihood estimation of the extreme value index (2002)On optimising the estimation of high quantiles of a probability distribution (2003)On maximum likelihood estimation of the extreme value index (2004)
this work references cited by second hop

References

  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 1985Kernel Estimates of the Tail Index of a Distribution283 cited
  • 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
  • 2000How to make a Hill plot238 cited
  • 1998Comparison of tail index estimators226 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1999A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index120 cited
  • 1993Optimal Choice of Sample Fraction in Extreme-Value Estimation104 cited
  • 1991Optimal choice of sample fraction in extreme-value estimation79 cited

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