Barunik, Jozef; Vacha, Lukas - Institut ekonomických studií, Univerzita Karlova v Praze - 2010
In this paper we study the finite sample behavior of the Hill estimator under α-stable distributions. Using large Monte Carlo simulations we show that the Hill estimator overestimates the true tail exponent and can hardly be used on samples with small length. Utilizing our results, we introduce...
