Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution
| Year of publication: |
2005
|
|---|---|
| Authors: | Beirlant, J. ; Joossens, E. ; Segers, J. |
| Institutions: | Tilburg University, Center for Economic Research |
| Subject: | bias | exchange rate | heavy tails | peaks-over-threshold | regular variation | tail index |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series CentER Discussion Paper Number 2005-112 |
| Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
| Source: |
Persistent link: https://www.econbiz.de/10011092196