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Estimating The Density Tail Index For Financial Time Series

Kearns, Phillip; Pagan, Adrian - In: The Review of Economics and Statistics 79 (1997) 2, pp. 171-175

The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent...

Persistent link: https://www.econbiz.de/10005557289

Estimating the density tail index for financial time series

Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175

Persistent link: https://www.econbiz.de/10001222499

Seasonal integration and the evolving seasonals model

Hylleberg, Svend - 1995

Persistent link: https://www.econbiz.de/10000146741

Modelling the term structure

Pagan, Adrian R. - 1995 - Rev.

Persistent link: https://www.econbiz.de/10000560752

Structural models of the liquidity effect

Pagan, Adrian R. - 1995

Persistent link: https://www.econbiz.de/10000560753

The getting of macroeconomic wisdom

Pagan, Adrian R. (contributor) - 1999

Persistent link: https://www.econbiz.de/10001512744

The rise and fall and rise ... of the business cycle : the Shann memorial lecture 1996

Pagan, Adrian R. - 1996

Persistent link: https://www.econbiz.de/10000952614

Policy, theory, and the cycle

Pagan, Adrian R. - In: Oxford review of economic policy 13 (1997) 3, pp. 19-33

Persistent link: https://www.econbiz.de/10001232414

[Rezension von: Darnell, Adrian, The limits of econometrics]

Pagan, Adrian R. - In: The economic journal : the journal of the Royal … 101 (1991) 406, pp. 636-638

Persistent link: https://www.econbiz.de/10001345226

The econometrics of financial markets

Pagan, Adrian R. - In: Journal of empirical finance 3 (1996) 1, pp. 15-102

Persistent link: https://www.econbiz.de/10001208678

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