Bibliography
- Danielsson , J. , Jansen , D. and De Vries , C.G. 1994 . “ The moments ratio approach to quantile and tail estimation ” . In Mimeo , Tinbergen Institute Rotterdam .
- Goldie , Charles M. and Smith , Richard I. 1987 . Slow variation with remainder: theory and applications . Quarterly Journal of Mathematics , 38 : 45 – 71 .
- Hall , Peter and Welsh , A.H. 1984 . Best attainable rates of convergence for estimates of parameters of regular variations . Ann. of Statis , 12 : 1079 – 1084 .
- Hall , Peter . 1982 . On some simple estimates of an exponent of regular variation . J. Roy. Statis. Soc. B , 44 : 37 – 42 .
- Haan De , L. and Peng , L. 1994 . “ Comparison of tail index estimators ” . In mimeo , Rotterdam : Economic Institute, Erasmus University .
- Hill , Bruce M. 1975 . A simple general approach to inference about the tail of a distribution . Ann. of Statis , 3 : 1163 – 1173 .
- Jansen , Dennis W. and De Vries , Casper G. 1991 . On the frequency of large stock returns: Putting booms and busts into perspective . The Review of Economics and Statistics , 73 : 18 – 24 .
- Loretan , Mico and Phillips , Peter C.B. 1994 . Testing the covariance stationarity of heavy-tailed time series . Journal of Empirical Finance , 1 : 211 – 248 .
- Schwart , G William . Business cycles, financial crises and stock volatility . Carnegie- Rochester Conference Series on Public Policy . Vol. 31 , pp. 83 – 126 .