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  • Search: subject:"Hill estimator"
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Year of publication
Subject
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Hill estimator 35 Schätztheorie 14 Estimation theory 13 Statistische Verteilung 10 Statistical distribution 9 Estimation 7 Probability theory 7 Schätzung 7 Wahrscheinlichkeitsrechnung 7 Ausreißer 4 Outliers 4 extreme value index 4 regular variation 4 stochastic growth 4 tail index 4 tail index bias 4 Bias 3 Systematischer Fehler 3 differential non-response 3 Bootstrap approach 2 Bootstrap-Verfahren 2 Cities 2 Einkommensverteilung 2 Extreme value statistics 2 Full-sample bootstrap 2 Goodness of fit test 2 Income distribution 2 Index parameter 2 Intermediate order statistic 2 Pareto distribution 2 Policy 2 Risikomaß 2 Risk measure 2 Statistical theory 2 Statistische Methodenlehre 2 Tail index estimation 2 Time series analysis 2 Value-at-Risk 2 Vermögen 2 Vermögensverteilung 2
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Online availability
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Free 41 CC license 1
Type of publication
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Book / Working Paper 35 Article 6
Type of publication (narrower categories)
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Working Paper 13 Arbeitspapier 9 Graue Literatur 7 Non-commercial literature 7 Article in journal 4 Aufsatz in Zeitschrift 4 Thesis 3 Article 2
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Language
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English 33 Undetermined 8
Author
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Milaković, Mishael 4 Einmahl, John H. J. 3 Cai, Juan Juan 2 Chen Zhou 2 Dominicy, Yves 2 Gourieroux, Christian 2 Hill, Jonathan 2 Ilmonen, Pauliina 2 Jasiaky, Joanna 2 Lin, Yicong 2 Litvinova, Svetlana 2 Roy, Moumita 2 Schaumburg, Julia 2 Schulz, Jan 2 Schulz-Gebhard, Jan 2 SenGupta, Ashis 2 Silvapulle, Mervyn J. 2 Soo, Kwok Tong 2 Wagner, Niklas 2 Wang, Chenhui 2 Xia, Zhendong 2 Yang, Fan 2 ANNAERT, Jan 1 Ahmed, Hanan 1 Barunik, Jozef 1 Baruník, Jozef 1 Caivano, M. 1 DE CEUSTER, Marc 1 Fan, Zhenhong 1 Gadea, María Dolores 1 Gimeno, Ricardo 1 Gonzalez, Clara I. 1 Gonzalo, Jesús 1 Goorbergh, R.W.J. van den 1 Greselin, Francesca 1 Guermat, C. 1 HODSGON, Allan 1 Hadri, K. 1 Haeusler, E. 1 Harvey, A. 1
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Institution
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Department of Economics, Florida International University 3 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Business School, University of Exeter 1 Centre for Economic Performance, LSE 1 Cowles Foundation for Research in Economics, Yale University 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Faculty of Economics, University of Cambridge 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 London School of Economics (LSE) 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 de Nederlandsche Bank 1
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Published in...
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Working Papers / Department of Economics, Florida International University 3 Discussion paper / Center for Economic Research, Tilburg University 2 ECARES working paper 2 MPRA Paper 2 Research Program in Finance, Working Paper Series 2 Working paper / Department of Econometrics and Business Statistics, Monash University 2 BERG Working Paper Series 1 BERG working paper series 1 CEP Discussion Papers 1 Cambridge Working Papers in Economics 1 Cowles Foundation Discussion Papers 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Papers / Business School, University of Exeter 1 Discussion paper / Tinbergen Institute 1 HSC Research Reports 1 IES Working Paper 1 Journal of Risk and Financial Management 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of risk and financial management : JRFM 1 LSE Research Online Documents on Economics 1 Quantitative finance 1 Review of Income and Wealth 1 Review of income and wealth 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 Statistics and Econometrics Working Papers 1 Tinbergen Institute Discussion Paper 1 WO Research Memoranda (discontinued) 1 Working Papers / Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Working Papers IES 1 Working paper 1
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Source
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RePEc 19 ECONIS (ZBW) 13 EconStor 6 BASE 3
Showing 1 - 10 of 41
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Clustering extreme value indices in large panels
Wang, Chenhui; Cai, Juan Juan; Lin, Yicong; Schaumburg, … - 2025
convergence rate than the individual Hill estimator, leading to improved estimation accuracy. Simulation results reveal that our …
Persistent link: https://www.econbiz.de/10015394934
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Cover Image
Clustering extreme value indices in large panels
Wang, Chenhui; Cai, Juan Juan; Lin, Yicong; Schaumburg, … - 2025
convergence rate than the individual Hill estimator, leading to improved estimation accuracy. Simulation results reveal that our …
Persistent link: https://www.econbiz.de/10015394374
Saved in:
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Testing extreme warming and geographical heterogeneity
Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024
Persistent link: https://www.econbiz.de/10015395810
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How wealthy are the rich?
Schulz-Gebhard, Jan; Milaković, Mishael - In: Review of income and wealth 69 (2023) 1, pp. 100-123
Persistent link: https://www.econbiz.de/10014310938
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GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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How Wealthy are the Rich?
Schulz, Jan; Milaković, Mishael - In: Review of Income and Wealth 69 (2021) 1, pp. 100-123
Underreporting and undersampling biases in top tail wealth, although widely acknowledged, have not been statistically quantified so far, essentially because they are not readily observable. Here we exploit the functional form of power law‐like regimes in top tail wealth to derive analytical...
Persistent link: https://www.econbiz.de/10014503541
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Testing the multivariate regular variation model
Einmahl, John H. J.; Yang, Fan; Chen Zhou - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 907-919
Persistent link: https://www.econbiz.de/10012653202
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Cover Image
How wealthy are the rich?
Schulz, Jan; Milaković, Mishael - 2020
Underreporting and undersampling biases in top tail wealth, although widely acknowledged, have not been statistically quantified so far, essentially because they are not readily observable. Here we exploit the functional form of power law-like regimes in top tail wealth to derive analytical...
Persistent link: https://www.econbiz.de/10012423538
Saved in:
Cover Image
How wealthy are the rich?
Schulz-Gebhard, Jan; Milaković, Mishael - 2020
Underreporting and undersampling biases in top tail wealth, although widely acknowledged, have not been statistically quantified so far, essentially because they are not readily observable. Here we exploit the functional form of power law-like regimes in top tail wealth to derive analytical...
Persistent link: https://www.econbiz.de/10012406231
Saved in:
Cover Image
Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index
Litvinova, Svetlana; Silvapulle, Mervyn J. - 2020
Persistent link: https://www.econbiz.de/10012607652
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