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  • Search: subject:"Tail index"
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Year of publication
Subject
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tail index 32 Schätztheorie 16 Statistische Verteilung 16 Estimation theory 14 Statistical distribution 14 Tail index 14 Wahrscheinlichkeitsrechnung 12 Hill estimator 11 Probability theory 10 Theorie 9 Ausreißer 8 Bias 8 Outliers 8 Estimation 6 Risikomaß 6 Risk measure 6 Schätzung 6 extreme value theory 6 heavy tails 6 Börsenkurs 5 Share price 5 Theory 5 Time series analysis 5 Zeitreihenanalyse 5 confidence intervals 5 tail events 5 Aktienindex 4 Bootstrap 4 Extreme Value Theory 4 Mean squared error 4 Stock index 4 Systematischer Fehler 4 Tail Index 4 bias sign 4 economic capital 4 factor models 4 optimal rate 4 portfolio credit risk 4 portfolio quality 4 regular variation 4
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Online availability
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Free 61 CC license 1
Type of publication
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Book / Working Paper 53 Article 8
Type of publication (narrower categories)
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Working Paper 21 Graue Literatur 15 Non-commercial literature 15 Arbeitspapier 14 Article in journal 5 Aufsatz in Zeitschrift 5 Article 2 Collection of articles of several authors 1 Hochschulschrift 1 Sammelwerk 1 Thesis 1
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Language
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English 37 Undetermined 24
Author
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Peng, L. 7 Danielsson, J. 5 Klaassen, Pieter 5 Lucas, André 5 Straetmans, Stefan 5 Vries, Casper G. de 5 Milaković, Mishael 4 Spreij, Peter 4 Biffis, Enrico 3 Chavez, Erik 3 Daouia, Abdelaati 3 Ferreira, Ana 3 Vries, C.G. de 3 Alfarano, Simone 2 Gay, Roger 2 Girard, Stéphane 2 Haan, L. de 2 He, Xue-zhong 2 Horváth, Roman 2 Li, Youwei 2 Lux, Thomas 2 Moore, Kyle 2 Peng, Peng, L. 2 Schulz, Jan 2 Schulz-Gebhard, Jan 2 Segers, J. 2 Stupfler, Gilles 2 Upper, Christian 2 Wagner, Niklas 2 Werner, Thomas 2 Zhou, Chen 2 Šopov, Boril 2 Alentorn, Amadeo 1 Beirlant, J. 1 Caivano, M. 1 Caivano, Michele 1 Cavaliere, Giuseppe 1 Chen, Kan 1 Cheng, Tuoyuan 1 Danielsson, Jon 1
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Institution
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Erasmus University Rotterdam, Econometric Institute 3 Tinbergen Institute 3 Tinbergen Instituut 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Department of Econometrics and Business Statistics, Monash Business School 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 2 Tilburg University, Center for Economic Research 2 Banca d'Italia 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Cowles Foundation for Research in Economics, Yale University 1 Dipartimento di Economia, Università Ca' Foscari Venezia 1 Economic Science Institute (ESI), Argyros School of Business and Economics 1 European Central Bank 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Faculty of Economics, University of Cambridge 1 London School of Economics (LSE) 1 de Nederlandsche Bank 1
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Published in...
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Tinbergen Institute Discussion Papers 6 Discussion paper / Tinbergen Institute 3 Econometric Institute Report 3 MPRA Paper 3 Tinbergen Institute Discussion Paper 3 Working papers / TSE : WP 3 Discussion Paper / Tilburg University, Center for Economic Research 2 Econometric Institute Research Papers 2 Monash Econometrics and Business Statistics Working Papers 2 Research Program in Finance, Working Paper Series 2 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 2 Risks 2 BERG Working Paper Series 1 BERG working paper series 1 Boston College working papers in economics 1 CIRANO Working Papers 1 Cambridge Working Papers in Economics 1 Cambridge working papers in economics 1 Cowles Foundation Discussion Papers 1 Discussion paper / Center for Economic Research, Tilburg University 1 Discussion paper series / University of Essex, Department of Economics 1 ECARES working paper 1 ECB Working Paper 1 Economic inquiry 1 IES Working Paper 1 IES working paper 1 Journal of econometrics 1 Kiel Working Paper 1 LSE Research Online Documents on Economics 1 Review of Income and Wealth 1 Review of income and wealth 1 Risks : open access journal 1 Serie Research Memoranda 1 Temi di discussione (Economic working papers) 1 The Journal of finance and data science : JFDS 1 WO Research Memoranda (discontinued) 1 Working Paper Series / European Central Bank 1 Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1 Working Papers / Economic Science Institute (ESI), Argyros School of Business and Economics 1
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Source
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RePEc 31 ECONIS (ZBW) 21 EconStor 9
Showing 1 - 10 of 61
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Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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Empirical likelihood based testing for multivariate regular variation
Einmahl, John H. J.; Krajina, Andrea - 2023
Persistent link: https://www.econbiz.de/10013475286
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Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M. - In: Economic inquiry 61 (2023) 2, pp. 377-401
Persistent link: https://www.econbiz.de/10014308580
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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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Measuring tail risks
Chen, Kan; Cheng, Tuoyuan - In: The Journal of finance and data science : JFDS 8 (2022), pp. 296-308
relationship also gives rise to a robust and low-bias estimator of the tail index (TI) ξ of the size distribution, ξ = 1/η. We …
Persistent link: https://www.econbiz.de/10014433723
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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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Extremile regression
Daouia, Abdelaati; Gijbels, Irène; Stupfler, Gilles - 2021
Persistent link: https://www.econbiz.de/10012434749
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Testing and modelling time series with time varying tails
Palumbo, Dario - 2021
Persistent link: https://www.econbiz.de/10013254110
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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
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