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Original Articles

Measuring Tail Thickness to Estimate the Stable Index α: A Critique

Pages 74-81 | Published online: 02 Jul 2012

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Inmaculada B. Aban & Mark M. Meerschaert†. (2001) SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS. Communications in Statistics - Simulation and Computation 30:4, pages 949-962.
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Ioannis A. Koutrouvelis & Simos G. Meintanis. (1999) Testing for stability based on the empirical characteristic funstion with applications to financial data. Journal of Statistical Computation and Simulation 64:4, pages 275-300.
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Pedro J. F. de Lima. (1998) Nonlinearities and Nonstationarities in Stock Returns. Journal of Business & Economic Statistics 16:2, pages 227-236.
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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.
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Gareth W. Peters & Pavel V. Shevchenko. 2015. Advances in Heavy Tailed Risk Modeling. Advances in Heavy Tailed Risk Modeling 597 622 .
Mark M. Meerschaert & Hans-Peter Scheffler. (1998) A simple robust estimation method for the thickness of heavy tails. Journal of Statistical Planning and Inference 71:1-2, pages 19-34.
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Mattia Landoni & Ravi Sastry. (2013) Quantifying Tail Risk with Bad Data. SSRN Electronic Journal.
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Ricardo Gimeno & Clara I. Gonzalez. (2012) An Automatic Procedure for the Estimation of the Tail Index. SSRN Electronic Journal.
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