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Monte Carlo-based tail exponent estimator
- 1.0346486 - ÚTIA 2011 RIV NL eng J - Journal Article
Baruník, Jozef - Vácha, Lukáš
Monte Carlo-based tail exponent estimator.
Physica. A : Statistical Mechanics and its Applications. Roč. 389, č. 21 (2010), s. 4863-4874. ISSN 0378-4371. E-ISSN 1873-2119
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045; GA ČR GP402/08/P207
Institutional research plan: CEZ:AV0Z10750506
Keywords : Hill estimator * α-stable distributions * Tail exponent estimation
Subject RIV: AH - Economics
Impact factor: 1.521, year: 2010
http://library.utia.cas.cz/separaty/2010/E/barunik-0346486.pdf
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. Our proposed method is not sensitive to the choice of tail size and works well also on small data samples. The new estimator also gives unbiased results with symmetrical confidence intervals.
Permanent Link: http://hdl.handle.net/11104/0187507
Number of the records: 1