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Persistent link: https://www.econbiz.de/10008533818
Estimation of the tail index of stationary, fat-tailed return distributions is non-trivial since the well-known Hill estimator is optimal only under iid draws from an exact Pareto model. We provide a small sample simulation study of recently suggested adaptive estimators under ARCH-type...
Persistent link: https://www.econbiz.de/10010537538