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  • Search: subject:"Hill estimator"
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Year of publication
Subject
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Hill estimator 65 Schätztheorie 25 Estimation theory 24 Statistische Verteilung 18 Statistical distribution 17 Estimation 11 Schätzung 11 Probability theory 10 Wahrscheinlichkeitsrechnung 10 Ausreißer 8 Outliers 8 Risk measure 8 tail index 8 Risikomaß 7 Bias 6 Systematischer Fehler 6 regular variation 6 Extreme value theory 5 Heavy tails 5 Tail index 5 extreme value index 5 Extreme quantile 4 Hill's estimator 4 Tail index estimation 4 Time series analysis 4 Zeitreihenanalyse 4 stochastic growth 4 tail index bias 4 Bootstrap approach 3 Bootstrap-Verfahren 3 Goodness of fit test 3 differential non-response 3 α-stable distributions 3 ARCH model 2 ARCH-Modell 2 Alpha-stable distribution 2 Bias correction 2 Bias reduction 2 Bootstrap 2 CTE 2
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Online availability
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Free 41 Undetermined 25 CC license 1
Type of publication
All
Book / Working Paper 42 Article 35
Type of publication (narrower categories)
All
Article in journal 17 Aufsatz in Zeitschrift 17 Working Paper 13 Arbeitspapier 9 Graue Literatur 7 Non-commercial literature 7 Thesis 3 Article 2 research-article 2
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Language
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English 50 Undetermined 27
Author
All
Chen Zhou 4 Milaković, Mishael 4 Wagner, Niklas 4 Dominicy, Yves 3 Einmahl, John H. J. 3 Ilmonen, Pauliina 3 Barunik, Jozef 2 Benkhelifa, Lazhar 2 Beran, Jan 2 Cai, Juan Juan 2 Gabaix, Xavier 2 Gamba-Santamaria, Santiago 2 Gourieroux, Christian 2 Hill, Jonathan 2 Hill, Jonathan B. 2 Ioannides, Yannis M. 2 Jasiaky, Joanna 2 Jaulin-Mendez, Oscar Fernando 2 Kim, Joocheol 2 Lin, Yicong 2 Litvinova, Svetlana 2 Marsh, Terry 2 Marsh, Terry A. 2 Melo-Velandia, Luis Fernando 2 Olmo, Jose 2 Quicazán-Moreno, Carlos Andrés 2 Rassoul, Abdelaziz 2 Roy, Moumita 2 Schaumburg, Julia 2 Schell, Dieter 2 Schulz, Jan 2 Schulz-Gebhard, Jan 2 SenGupta, Ashis 2 Silvapulle, Mervyn J. 2 Soo, Kwok Tong 2 Sun, Pengfei 2 Vacha, Lukas 2 Veredas, David 2 Wang, Chenhui 2 Weron, Rafal 2
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Institution
All
Department of Economics, Florida International University 3 EconWPA 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 C.E.P.R. Discussion Papers 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 Department of Economics, Tufts University 1 Econometric Society 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Faculty of Economics, University of Cambridge 1 HEC Paris (École des Hautes Études Commerciales) 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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Econometrics 3 Working Papers / Department of Economics, Florida International University 3 Annals of the Institute of Statistical Mathematics 2 Discussion paper / Center for Economic Research, Tilburg University 2 ECARES working paper 2 Insurance 2 Insurance: Mathematics and Economics 2 MPRA Paper 2 Physica A: Statistical Mechanics and its Applications 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 CEPR Discussion Papers 1 Cambridge Working Papers in Economics 1 Computational Statistics & Data Analysis 1 Cowles Foundation Discussion Papers 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Papers / Business School, University of Exeter 1 Discussion Papers Series, Department of Economics, Tufts University 1 Discussion paper / Tinbergen Institute 1 Econometric Society 2004 North American Winter Meetings 1 Econometric reviews 1 Finance and stochastics 1 Finance research letters 1 Global finance journal 1 HSC Research Reports 1 Handbook of regional and urban economics : volume 4, Cities and geography 1 IES Working Paper 1 International Journal of Monetary Economics and Finance 1 Investment management and financial innovations 1 Journal of Applied Statistics 1 Journal of Banking & Finance 1 Journal of Empirical Finance 1 Journal of Risk and Financial Management 1 Journal of banking & finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Journal of empirical finance 1
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Source
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RePEc 39 ECONIS (ZBW) 27 EconStor 6 BASE 3 Other ZBW resources 2
Showing 1 - 10 of 77
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/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:
Cover Image
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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Cover Image
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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Cover Image
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
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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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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
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