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  • Search: subject:"Tail index estimation"
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Year of publication
Subject
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Tail index estimation 7 Hill estimator 5 tail index estimation 4 extreme value theory 3 stock returns 3 Robustness 2 Asymptotic distribution 1 Confidence interval 1 Coverage probability 1 Edgeworth expansion 1 Empirical likelihood 1 Endogeneity in frontier models 1 Estimation theory 1 Extreme value index 1 Extreme value theory 1 Extreme-value theory 1 Huberization 1 IV-Schätzung 1 Influence functional 1 Influential data points 1 Instrumental variable quantile 1 Instrumental variables 1 L-moments 1 Landweber iteration 1 Monotone density estimation 1 Nichtparametrisches Verfahren 1 Non linear integral equation 1 Nonparametric statistics 1 Pareto-type distribution 1 Probability weighted moments 1 Regularly varying tail 1 Robust estimation 1 Schätztheorie 1 Small sample 1 Small-sample performance 1 Structural change 1 Tail index 1 Tail-index estimation 1 Technical efficiency 1 Technische Effizienz 1
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Online availability
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Undetermined 7 Free 2
Type of publication
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Article 8 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 research-article 1
Language
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Undetermined 8 English 4
Author
All
Beran, Jan 2 Lux, Thomas 2 Schell, Dieter 2 Cazals, Catherine 1 Chhay, Houng 1 Dierckx, Goedele 1 Fan, Zhenhong 1 Florens, Jean-Pierre 1 Fève, Frédérique 1 Goorbergh, R.W.J. van den 1 Hubert, Mia 1 Kim, Moosup 1 Lee, Sangyeol 1 Lux, T. 1 Müller, Samuel 1 Phillips, Peter C.B. 1 Qi, Yongcheng 1 Quintos, Carmela E. 1 Simar, Léopold 1 Stehlík, Milan 1 Vanpaemel, Dina 1
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Institution
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University of Bonn, Germany 2 Cowles Foundation for Research in Economics, Yale University 1 de Nederlandsche Bank 1
Published in...
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Annals of the Institute of Statistical Mathematics 2 Computational Statistics & Data Analysis 2 Discussion Paper Serie B 2 Computational Statistics 1 Cowles Foundation Discussion Papers 1 Empirical Economics 1 Journal of econometrics 1 Statistics & Risk Modeling 1 WO Research Memoranda (discontinued) 1
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Source
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RePEc 10 ECONIS (ZBW) 1 Other ZBW resources 1
Showing 11 - 12 of 12
Cover Image
A Note on the Stochastic Properties of German Stock Returns
Lux, Thomas - University of Bonn, Germany - 1998
This note reconsiders divergent results on the extremal behaviour of German stock returns that have been published recently. In particular, recent investigations of this issue have arrived at different conclusions regarding the finiteness of the second moment of the return distributions. Here we...
Persistent link: https://www.econbiz.de/10005032141
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Cover Image
The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange
Lux, T. - University of Bonn, Germany
those of other analyses of speculative returns. However, since the reliability of tail index estimation rests on the …
Persistent link: https://www.econbiz.de/10005001481
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