Citations (33)
Keep up to date with the latest research on this topic with citation updates for this article.
Read on this site (6)
Helena Penalva, M. Ivette Gomes, Frederico Caeiro & M. Manuela Neves. (2020) Lehmer's mean-of-order-p extreme value index estimation: a simulation study and applications. Journal of Applied Statistics 47:13-15, pages 2825-2845.
Read now
Read now
Yannick Hoga. (2019) Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models. Journal of Business & Economic Statistics 37:4, pages 613-624.
Read now
Read now
L. Ramprasath. (2017) Role of stylized features in constructing better estimators. Communications in Statistics - Theory and Methods 46:15, pages 7612-7620.
Read now
Read now
V. Paulauskas & M. Vaičiulis. (2017) Comparison of the several parameterized estimators for the positive extreme value index. Journal of Statistical Computation and Simulation 87:7, pages 1342-1362.
Read now
Read now
A. Dematteo & S. Clémençon. (2016) On tail index estimation based on multivariate data. Journal of Nonparametric Statistics 28:1, pages 152-176.
Read now
Read now
Stefan Mittnik, Marc S. Paolella & Svetlozar T. Rachev. (1998) A tail estimator for the index of the stable paretian distribution
. Communications in Statistics - Theory and Methods 27:5, pages 1239-1262.
Read now
Read now
Articles from other publishers (27)
Frederico Caeiro & Ayana Mateus. (2024) Reduced bias estimation of the shape parameter of the log-logistic distribution. Journal of Computational and Applied Mathematics 436, pages 115347.
Crossref
Crossref
E. Ocran, R. Minkah, G. Kallah-Dagadu & K. Doku-Amponsah. (2022) Estimation of the Tail Index of Pareto-Type Distributions Using Regularisation. Journal of Mathematics 2022, pages 1-16.
Crossref
Crossref
Ayana Mateus & Frederico Caeiro. (2022) Improved Shape Parameter Estimation for the Three-Parameter Log-Logistic Distribution. Computational and Mathematical Methods 2022, pages 1-13.
Crossref
Crossref
Natalia M. Markovich & Udo R. Krieger. 2020. Distributed Computer and Communication Networks. Distributed Computer and Communication Networks
282
297
.
Igor Rodionov. 2020. Nonparametric Statistics. Nonparametric Statistics
445
455
.
Yannick Hoga. (2018) Detecting Tail Risk Differences in Multivariate Time Series. Journal of Time Series Analysis 39:5, pages 665-689.
Crossref
Crossref
H. M. Barakat, E. M. Nigm, O. M. Khaled & H. A. Alaswed. (2017) The estimations under power normalization for the tail index, with comparison. AStA Advances in Statistical Analysis 102:3, pages 431-454.
Crossref
Crossref
Mofei Jia, Emanuele Taufer & Maria Michela Dickson. (2018) Semi-parametric regression estimation of the tail index. Electronic Journal of Statistics 12:1.
Crossref
Crossref
Yannick Hoga. (2016)
CHANGE POINT TESTS FOR THE TAIL INDEX OF
β
-MIXING RANDOM VARIABLES
. Econometric Theory 33:4, pages 915-954.
Crossref
Crossref
H.M. Barakat, E.M. Nigm & H.A. Alaswed. (2017) The Hill estimators under power normalization. Applied Mathematical Modelling 45, pages 813-822.
Crossref
Crossref
Vygantas Paulauskas & Marijus Vaičiulis. (2015) A class of new tail index estimators. Annals of the Institute of Statistical Mathematics 69:2, pages 461-487.
Crossref
Crossref
Yannick Hoga & Dominik Wied. (2017) Sequential monitoring of the tail behavior of dependent data. Journal of Statistical Planning and Inference 182, pages 29-49.
Crossref
Crossref
Yannick Hoga. (2017) Testing for changes in (extreme) VaR. The Econometrics Journal 20:1, pages 23-51.
Crossref
Crossref
Vygantas Paulauskas & Marijus Vaičiulis. (2013) On an improvement of Hill and some other estimators. Lithuanian Mathematical Journal 53:3, pages 336-355.
Crossref
Crossref
Wendy Ling Shinyie, Noriszura Ismail & Abdul Aziz Jemain. (2013) Semi-parametric Estimation for Selecting Optimal Threshold of Extreme Rainfall Events. Water Resources Management 27:7, pages 2325-2352.
Crossref
Crossref
Serguei Novak. 2011. Extreme Value Methods with Applications to Finance. Extreme Value Methods with Applications to Finance
351
368
.
Margarida Brito & Ana Cristina Moreira Freitas. (2010) Consistent estimation of the tail index for dependent data. Statistics & Probability Letters 80:23-24, pages 1835-1843.
Crossref
Crossref
V. Pisarenko & D. Sornette. (2006) New statistic for financial return distributions: Power-law or exponential?. Physica A: Statistical Mechanics and its Applications 366, pages 387-400.
Crossref
Crossref
Niklas Wagner & Terry A. Marsh. (2004) Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models. Statistical Papers 45:4, pages 545-561.
Crossref
Crossref
Patrice Bertail, Christian Haefke, Dimitris N. Politis & Halbert White. (2004) Subsampling the distribution of diverging statistics with applications to finance. Journal of Econometrics 120:2, pages 295-326.
Crossref
Crossref
Zoi Tsourti & John Panaretos. (2004) Extreme-value analysis of teletraffic data. Computational Statistics & Data Analysis 45:1, pages 85-103.
Crossref
Crossref
Tomasz J. Kozubowski, Anna K. Panorska & Svetlozar T. Rachev. 2003. Handbook of Heavy Tailed Distributions in Finance. Handbook of Heavy Tailed Distributions in Finance
131
167
.
Dennis W. Jansen, Kees G. Koedijk & Casper G. de Vries. (2000) Portfolio selection with limited downside risk. Journal of Empirical Finance 7:3-4, pages 247-269.
Crossref
Crossref
S. Mittnik & M.S. Paolella. (1999) A simple estimator for the characteristic exponent of the stable Paretian distribution. Mathematical and Computer Modelling 29:10-12, pages 161-176.
Crossref
Crossref
WARREN HOGAN. (2010) VALUE‐AT‐RISK ASSESSMENTS FOR BANKS AND OTHER PARTICIPANTS IN FINANCIAL MARKETS. Economic Papers: A journal of applied economics and policy 17:2, pages 83-96.
Crossref
Crossref
Sándor Csörgő & László Viharos. 1998. Asymptotic Methods in Probability and Statistics. Asymptotic Methods in Probability and Statistics
833
881
.
Zoi Tsourti & John Panaretos. (2001) Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison. SSRN Electronic Journal.
Crossref
Crossref