References
- Beirlant , J. , Vynckier , P. and Teugels , J. L. 1996 . ‘Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics’ . Journal of the American Statistical Association , 91 ( 436 ) : 1659 – 1667 .
- Bertail, P., Haefke, C., Politis, D., and White, H. (2001), ‘A Subsampling Approach to Estimating the Distribution of Diverging Statistics with Application to Assessing Financial Market Risks’, Universitat Pompeu Fabra, Economics Working Papers Nr. 599.
- Cont , R. 2001 . ‘Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues’ . Quantitative Finance , 1 : 223 – 236 . (doi:10.1080/713665670)
- Danielson , J. , de Haan , L. , Peng , L. and de Vries , C. G. 2001 . ‘Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation’ . Journal of Multivariate Analysis , 76 : 226 – 248 . (doi:10.1006/jmva.2000.1903)
- Derman , C. and Robbins , H. 1955 . The Strong Law of Large Numbers when the First Moment does not Exist . Proceedings of the National Academy of Sciences , 41 ( 8 ) : 586 – 587 . (doi:10.1073/pnas.41.8.586)
- Haan , L. D. and Peng , L. 1998 . Comparison of Tail Index Estimators . Statistica Neerlandica , 52 ( 1 ) : 60 – 70 . (doi:10.1111/1467-9574.00068)
- Haeusler , E. and Teugels , J. L. 1985 . On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation . The Annals of Statistics , 13 ( 2 ) : 743 – 756 . (doi:10.1214/aos/1176349551)
- Hall , P. 1981 . On Some Simple Estimates of an Exponent of Regular Variation . Journal of the Royal Statistical Society Series B , 44 ( 1 ) : 37 – 42 .
- Hill , B. 1975 . A Simple General Approach to Inference about the Tail of a Distribution . The Annals of Statistics , 3 ( 5 ) : 1163 – 1174 . (doi:10.1214/aos/1176343247)
- Mandelbrot , B. 1963 . The Variation of Certain Speculative Prices . The Journal of Business , 36 : 394 – 419 . (doi:10.1086/294632)
- Martins , M. J. , Gomes , M. I. and Neves , M. M. 2004 . Averages of Hill Estimators . Test , 13 ( 1 ) : 113 – 128 . (doi:10.1007/BF02603003)
- Resnick , S. and Stărică , C. 1997 . Smoothing the Hill Estimator . Advances in Applied Probability , 29 ( 1 ) : 271 – 293 . (doi:10.2307/1427870)