We perform an analysis of tail index estimation through Monte-Carlo simulations of synthetic data, in order to evaluate several tail estimators proposed in the literature. We derive and discuss the error of the Hill estimator under a general tail expansion of the distribution function. The...

In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting...